I've never used MSNIM, but most IM systems have an "ignore" list and a way to report harrassment. Either of those might help. Or you could report him directly to his ISP, which is probably what MSN would do if you reported him to them. Also if you have your conversations logged, I'd hold onto the logs for a while just in case you need to provide anyone with "evidence".

I certainly wouldn't keep talking to him in any case. You're just feeding his need for negative attention. Tell him you're reporting him/putting him on ignore (even if you don't) and then just quit replying.