Haven´t seen a msn client with that feature, but then I have not tried em all.
The coming "Mutlitasking" In 4.2 Is something for u or the existing "Backgrounder", the second option requires a jailbroken iPad.
Both features allowes u to have 1 or more apps open/active at the same time, that leads to that u can switch/jump between your apps without closing them and maybe rewrite or redo stuff In the app u where In.
Just like the iPod function, start the music and leave the iPodapp and the music Is still on and u can work/play with another app at the same time.