This is one of the many places Linux differs from Windows,
in Linux there's no application or program that acts as a firewall.
It's buildt right into the kernel as default and it's called Iptables.
You only need to activate it, and configure it to your liking.
There are several different GUI's to Iptables.
Search your package-manager, and you shall find.
But I don't think you can restrict users usage of applications
through a firewall. It normaly blocks on IP-adresses and Ports, not usernames.
You can probably only block all MSN-traficc, not restrict only one user.
Maby AppArmor or SeLinux can do that for you....