I haven't heard of Kinect functionality for MSN messenger. If there is, my best guess would be to plug it into your computer, and then on your chat windows, there should be a small webcam icon. Click on it, and the rest is self explanatory really.
Or you could just invest in a normal webcam like everyone else. Webcams are going for like a couple of dollars/pounds/[insert currency here], on Amazon.
Have fun video chatting!