You can download an addon for msn called Messenger Plus! Live that will give the ability to use tabbed chat.

If you use it then make sure you're paying attention when installing. There is a point that asks you to install a sponsor program, this puts adware on your computer... so you may want to decline to install it.

If you're using Windows 2000 (like I used to), you can't install WLM.  Even with the installer file it just installs Windows Messenger.

MSN sucks.