You can download the MSN Explorer software by signing in at http://membercenter.msn.com with your account ID. It will give you the installer for the MSN software. The Connection Center software can be installed at the same time if you are already a subscriber, but it requires that you be connected to the Internet in order to download and install, of course.
Your best bet to get it set up on a PC that does not already have an Internet connection is to order the MSN CD, available from the same link above.
-steve