Did you get the "I See The Smiley Face" screen?  If not, maybe its only half downloaded and you need to uninstall and reinstall the chat software.  Go clean out your temp internet files, temp files, and cookies (all found in your C drive I believe in programs), then try again to enter chat.  It should give you the smiley face screen.  MAKE SURE that you see the smiley face before you click the link.

do what gali said and clear the history, temp internet files, and cookies, then go into your main drive, windows folder, then downloaded program files and delete msn chat control.  after you do all this, go back into the comm and try to re-enter chat, and it will re-download the chat control.  wait for the smiley face then click the link to enter the room.