If you want conference calling then use Skype. Skype was developed from the voice end of messeging, while MSN messenger was developed from the text end of messeging. They seem to be getting closer and closer to meeting in the middle but there are some
things that each does better than the other.
I personally use both. I prefer the MSN chat with all the toys like drawing and cusom emoticons, winks and nudges. However, Skype still has better voice capabillity for now, primarily for conference calling and holding one call while you take another, etc.
MSN Live messenger has made a big leap in the right direction with adding dial out and text messaging support but it's not quite there. I'm sure it will get there eventually but until it does I'm sticking to using two messaging tools, meaning that in the meantime
all my calls (and therefore money) are going through eBay (Skype). Sorry Microsoft.