When I use msn it often freezes on me or will sit in busy mode until I am forced to shut it down. It causes my CPU to ramp up very high as well. It has not yet shut down on me but I would not have very much surprise if it did.
I have talked to others on my msn and they are having many of the same issues including your issue of shutting down. I am sorry I can not offer you a helpful fix to the issue. I have yet to find one myself and support is of no help as well.

I also use Trillian now. I do not have any problems with it. Maybe a re-install could fix?