I use it and like it.
There is a simple client that comes with Windows, and another MS built one with a few more bells and whistles at:
http://messenger.msn.com/
There are clients for other OS' than Windows too. The most popular one, which I use, is
GAIM.
GAIM can also connect to Jabber, IRC, ICQ, AIM, etc. There is a port available for Windows.
A popular multi-protocol IM messenger for Windows is otherwise
Trillian, available in free and pro versions, the latter with a price tag.