Well for one; they are two different messengers.
Windows Messenger comes bundled with Windows XP. Some people talk about removing it. However this is not advisable because it will disable some features that are useful, such as Remote Desktop Assistance.
MSN Messenger is what is currently for download on
http://messenger.msn.com. Windows Live Messenger (MSN8) has a lot more useful features and looks a lot better too. But it's still beta and will be coming soon. :P
If any outside messenger, be it MSN, AIM, XFire, etc. becomes integrated; there are increased security issues from then on.