Press (win key+r) type 'regedit' Navigate to HKEY_LOCAL_MACHINE – SOFTWARE – Microsoft - Windows Live, users will have to right click Messenger and create a New DWORD value labeled 'MultipleInstances' When you do this you will be able to run sign in into multiple accounts on the same computer! Source: Live Side
A easier way to do this is to download the apatch for windows live messenger. It can remove those adverts and allow you to run more than one at the same time.
This does work if you have the version its intended for. Also if your an MSN Plus user you can go to: Preferences > Customize > General Then click “Allow me to connect to several accounts simultaneously”