You need to research websites which have indexed by MSN. Once you find out these, you ask the owners of websites to exchange link with your site(s).
MSN doesn't make back link info public. In a related topic, the back links that Google shows with link:domain are only a small portion of the actual links they have on record for a website (compare in Google Webmaster Tools to see what I'm talking about.) Because of the above I use Yahoo Site Explorer to see the back links of my competitors. I use both Yahoo Site Explorer and Google Webmaster Tools (but never link:domain which is useless) to check my own back links. Hope this helps.