I posted a thread about this many months/a year or so ago.
I had no idea what it did (apart from the fact it was a way of contacting others and lots of nasty rumours about bullying and viruses).
Like you we got the 'But I'm the ONLY one without it', being made to feel tremendously guilty and nasty in not letting dd join in with everyone else's conversations.
We looked into it (through my original thread and the internet itself) and allowed dd to join msn from her computer.
WE have had absolutely no problems with it, in fact when someone pops up who dd doesn't overly like she tells them I'm standing reading over her shoulder so to be careful what they say (when in fact I'm downstairs!!).
My dd is a very sensible girl and knows all the dangers. She knows not to link up/talk to anyone she doesn't personally know.
You have to educate your kids and then set them along the right path, in whatever they do.
I'm sur eyou'll get no problems either