http://explore.live.com/messengerAny MSN, hotmail, or Yahoo email addresses should work with it. So if you don't have one of those, then yes, you would have to get a new email account for it. Hotmail is free to use though.
Alternatively, Yahoo Messenger can also add MSN emails to its friend list, so if you already have that, MSN isn't even necessary. You may or may not have compatibility problems if you do that though (when it comes to file transfers, webcam, or things like that).