You may not be able to sign in because of one of several problems, such as your proxy settings, the DNS cache, or a firewall

To troubleshoot the problem:
Confirm that you're connected to the Internet by visiting another web site.

Clear the Windows Live Messenger proxy settings
Start Messenger.
On the Tools menu, click Options.
Under Connection, click Advanced Settings.
Delete the entries under SOCKS.
Click OK, and then click OK again.

If your computer is running Windows XP, clear the DNS resolver cache
On the taskbar, click Start, and then click Run.

Type cmd, and then click OK.
At the command prompt, type ipconfig/flushdns, and then press ENTER.

If you're still unable to sign in to Messenger
A dial-up connection may be timing out. Wait a few minutes, and then try to sign in again.
If your computer is part of a corporate network, contact your network administrator to make sure that the network allows access to the Messenger service.

Check your firewall settings:
Go to the MSN Web Messenger website.
Click Start MSN Web Messenger, and then try to sign in.
If you can sign in to MSN Web Messenger, but Windows Live Messenger still can't access the Internet, Windows Live Messenger may be blocked by a firewall. You may need to add MSNmsgr.exe to your firewall's allow list. See your firewall's documentation or website for more information on how to add MSNmsgr.exe to your allow list.

This will only work on Windows Vista.

Click start

Type: cmd (but don’t hit Enter)

Right-click cmd.exe when it appears under Applications

Click Run As Administrator

Type the following: netsh int tcp set global autotuninglevel=disabled

Press enter