msn.exe is a process belonging to MSN Explorer which adds new features to Internet Explorer. This is a non-essential process.
Disabling or enabling it is down to user preference.
Note: msn.exe is also a process which is registered as the W32.Flita Trojan. "This Trojan allows attackers to access your computer from remote locations, stealing passwords, Internet banking and personal data. "
This process is a security risk and should be removed from your system.
Non-system processes like msn.exe originate from software you installed on your system. Since most applications store data in your system's registry, it is likely that over time your registry suffers fragmentation and accumulates invalid entries which can affect your PC's performance. It is recommended that you check your registry to identify slowdown issues