They could have hacked in through a network connection (don’t think that is the 100% correct terminoligy but, the correct one is excaping me at the moment). In short, they could have, with the right knowledge, snuck in through the “back door” of a computer while connected to MSN with the other person. Not all that hard to do if you establish the right connection.
I personally do not know how to do it but, have seen it done. Luckily, when I saw it done, it was when someone who didn’t know anything about computers needed help and they were not at the same location.
**Edited to add: That is the main reason, I do not leave my messanger open. I always tell people to email me if they need to IM. If I am online, I turn the IM on, then.