You tell it to pull your contacts in and they appear in with your normal phone contacts. Then, you can set about merging them together which is pretty simple (hold finger over contact, press merge, choose which to merge it into).

How this copes with adding/removing contacts on MSN I do not know, I suspect it will not keep up-to-date and you will have to remember to add them to your N900 contacts. I can't really see any other way to handle it to be honest.