Hi tech, first check if you have the latest version of windows messenger. Then make sure, like amos said that the messenger is not blocked by your firewall. (Windows firewall shouldn´t be an issue but if you are using any third party firewall check your settings). Also this error might be caused if you are using proxy server for connection. In control panel->Internet options->Connection tab->Lan settings uncheck use proxy (if checked).
Anyway, since when were you having this error. Did it happen just out of the blue or you were installing new programs/drivers/uninstalling stuff.
You may try some of the methods described here
http://www.winvistatips.com/error-code-80072eff-t356410.html
I hope it was helpful. I use either Miranda IM or my Xbox to connect to MSN so I don´t really know much about Messenger.