MSN Messenger only allows you to run once instance at a time, and that one instance can only log in as a single user but as you see in the image I have open more than one windows live messenger accounts on my computer. There are many ways how to do this. I will show you two.
The fist is to download Messenger Plus! and configurate to allow multiple account.
The second way is downloading A-Patch for Windows Live Messenger where you can choose multiple account and a lot of other stuff.
With A-Patch for Windows Live Messenger you can remove advertisements , nudge delay , min file sending and receive etc etc