To be able to use the sample that you mention, your firewall should allow HTTP traffic to the following domains:
· http://messenger.mslivelabs.com
· http://www.wlmessenger.net
· http://settings.messenger.live.com
That sample uses our legacy sign-in control. I encourage you to consider using the latest features available in the Windows Live Messenger Web Toolkit. You can use the Windows Live Messenger UI Controls to greatly reduce your coding efforts while achieving great flexibility and a ready-to-use polished UI. Checkout the Messenger Web Toolkit Interactive SDK to see the UI controls in action.
If you want to dive into the core features by using the API directly the Windows Live Messenger Library Development Basics page is a good place to start.
Thanks,
Offir Bakshitz [MSFT]