From what i can remember, 2-3 years ago they used to have a tool to check backlinks but not any more.
I've got to agree with the last poster...at this point in time (nov '08) it cannot be done for MSN. If you do an MSN search for "track MSN backlinks" I've seen some articles that suggest it will be back, but not yet. Just keep your eyes peeled.
they were getting spammed by bots etc so they turned the feature off... no word on when or if it will come back online? pain in the ass if you ask me...
I always use this: http://www.seocentro.com/tools/search-engines/link-popularity.html It checks serveral search engines. Edit: sorry, it doesn't do msn.
If you use Microsoft Internet explorer there is an option in the menu to check backlinks and similiar pages and Page Rank. I think you just have to add the toolbar.
Yeh !!! Create account in MSN Live search Webmaster Tool it's better way for you. http://www.webmaster.live.com
Definitely use the MSN Live search Webmaster Tool. It's a great tool. None of the webmaster tools (or Site Explorer, as Yahoo calls its tool) give a complete list of backlinks in their indexed pages, but they do provide a window into what they consider important.