(this works for Internet Explorer v 6, but try it anyway if you're using a different version)
Clearing Web Cache
Go to "Tools", "Internet Options", "General" tab
Click on "Delete Files"
Tick "Delete all offline content"
Click "OK"
(there might not be a "Delete Files" button on IE version 4 or lower, let us know about this if this is so... or just download a newer version)
Deleting Cookies
Go to "Tools", "Internet Options", "General" tab
Click on "Delete Cookies"
Click "OK"
Removing Previous Versions of MSN Chat Control
Go to "Tools", "Internet Options", "General" tab
Click on "Settings"
Click on "View Objects"
Delete any files named "MSN Chat Control"
Close Window
Click "OK"
If that fails...
Go to "Tools", "Internet Options", "General" tab
Click on "Settings"
Click on "View Objects"
Delete everything in the window
Close Window
Click "OK"
Security and Privacy Settings
Should both be ok set at "medium" really
Other Problems/ Suggestions
If you're chatting from work, the works firewall could be preventing you from being able to get into the chat room (nothing can be done about that - maybe contact a technician there if that's allowed)
Try downloading a newer version of Internet Explorer (make sure you're not using a works computer to do this though, as it could screw thing up more)
Try using a different browser with the chat room (not sure if that would work - maybe Netscape of something)