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Although I (think I) have disabled all firewalls, pop-up stoppers and anti-virus applications installed on my PC, something is still stopping ActiveX & possibly Javascript from running and MSN Messenger from connecting. Is there any way of finding out what is doing this? Or might the source of the problem be something other than a firewall or other security feature?

To get access to the ActiveX controls in Internet Explorer, Open IE, click on Tools, click on Internet Options, click on the Security tab, click on the Custom Level button (near the bottom). Scroll down a bit to ActiveX controls and plug-ins; here you will have several options. Keep in mind that if you Enable all the options, you are leaving your system open to unwanted intrusions.

Here is how I have my settings:
Download signed ActiveX controls -- Prompt
Download unsigned ActiveX controls -- Disable
Initialize and script ActiveX controls not marked as safe -- Disable
Run ActiveX controls and plug-ins -- Enable
Script ActiveX controls marked safe for scripting -- Enable

The more of these you have Disabled, the safer you system is, but there will be sites that you can't access. Prompting is the next best thing, but constantly clicking OK can be tedious and usually you don't know whether it should be allowed or not. The described combination works best for me, but not be best for you -- it is just shown as a reference.
(From Daniweb)

Should have mentioned that I've already set the security level and checked the settings for the internet zone multiple times. Thanks for your advice, though. Anything else it could be?

Can you try something for me. Set up another (Windows) user account with Admin rights and log in as that user. Try to connect to MSN as that user and let me know what happens.

The User Accounts window (as with other windows, like the search function one) contains nothing but a title-bar, 'Back', 'Forward' and 'Home' buttons, and a lot of blank space.

(I have been trying to get ActiveX to work so that I can run a PC diagnostic test. It's something of a vicious circle.)

Sounds like you might want to try a Repair Install (search the forum for info)

Or sfc/scandisk - again, search the forum for info.