I had a similar problem with ICQPhone, people could hear me, but, I couldn't hear them, so I went to the ICQ options and change the port, still using the same ICQ server but in a different port, and that solved the problem.
Since I'm not familiar with MSN software, I don't know if you have that same possibility or not, but still believe it has something to do with the ports beeing used.
NightWatcher