System restore only restores your pc back to a time when it was working fine . In your case before you installed the newer version of msn messenger . You won't lose anything from your pc , its not the same as restoring your pc with the disk that alot of computers come with .
Just follow the arrows :
Click on start > programs > accessories > system tools > system restore .
You will end up with a calendar , and some of the dates will be in Bold type . These are restore points that windows saves at random or usually when you are installing new software . Lets say that you installed the new version of msn yesterday . You need to go back to an earlier time that your pc was running ok , the nearest restore point before you installed the new version of msn .It will be in Bold type . Like on the photo below . Click on the date that is in bold , then on next and follow the on screen instructions .
http://i34.photobucket.com/albums/d127/mrbillyuk/Systemrestore.jpg
In theory , before you ever install new software you should create your own restore point just in case windows doesn't and you havea problem . Then you can just put your computer back to how it was before you installed the software .
Sorry for long winded explanation. Hope i am making myself clear
MrBillyUK !