Thanks for your tips Seb.
I agree it is very strange. I forgot to say: the PC is a dual boot. So it use the same hostname, the same Ip, .... Even more strange, kopete was working perfectly before they installed this new firewall. Someone told me that MSN messenger probably connect via http_connect on port 80 which could be the reason why it works under windows
I tryied to ping messenger.hotmail.com but it failed it could also be the reason why
Last think, I tryied on another machine and the same things occured
So I hold on and try to find an answer