Br4m, your wrong, I have had Firefox as my default browser for some time, and have also had MSN Messenger auto-open my email inbox within Firefox, even without the browser running.
I can't truly remember how I managed it, since I'm mainly a Linux user, and when using Windows, I now use Pidgin as my default IM program.
I think if you also go into your control panel, set your Internet Options default pointing to Firefox, rather than IE, then that should change it. If not, I hope someone points you in the right direction.