depends on what you actually mean.
if you are clicking on something and it brings up messenger and you want some other program to come up you would change it in control panel
select control panel->programs->default programs->set associations then find file association you want to change and select change program.
if you are talking about the internet explorer connecting to the msn webpage by default
you start Internet explorer go to the web page you want for your default
hit alt+x select o for options
then on the general tab you select the use current button and it will store the new page as your startup page