Assuming that you've checked the settings out as above, and it still isn't falling into line, it could be a glitch with Client for MSN itself.
First, make sure your Primary Network Logon hasn't been switched to something other than Client.
The next thing I'd try is going into Control Panel|Add/remove Programs and pulling Communications itself, then rebooting and reinstalling it and reconfiguring. Takes about 5-10 minutes, and should clear the issue.
If it's still a no-go, and your install was pulled from cabfiles, rename the cab directory and reinstall Communications from a 98 CD.
If the install was from CD, go into the network control panel and pull the components, one at a time, then reboot, then remove/replace Comm. one more time. (Gets persistent reg keys that sometimes go a little glitchy)