The MSN protocol requires both port 1863, the standard MSN protocol port, and port 443, HTTPS.  Many sites require proxies for HTTP/HTTPS traffic but are willing to open up port 1863.  If you require proxy support for port 443 to get MSN working, you can instruct the JVM to send all https connections through the proxy with the following options:

-Dhttps.proxyHost=myproxy.mydomain.org -Dhttps.proxyPort=myproxyport

Ex:

nohup "$app_java_home/bin/java" -server -Dhttp.proxyHost=mywebcache.mydomain.com -Dhttp.proxyPort=3128 -Dinstall4j.jvmDir="$app_java_home" .......

You can read more about this at: http://java.sun.com/j2se/1.5.0/docs/guide/net/proxies.html

A better solution will be worked out in the future, but for now, this is a good stopgap.

Windows

Not tested yet: Edit the openfired.vmoptions or openfire-service.vmoptions file and add every -D... parameter as a new line. The Installation Guide describes both files.