Here is an idea, not sure that's what you want...

I haven't used ZoneAlarm in years but can you block an IP with it?

When I log in with MsnMessenger6 it connects to baym-cs106.msgr.hotmail.com

If I was you I would block any connection to *.msgr.hotmail.com in ZoneAlarm.

It will probably give an alarm when your brother will try to connect though.
You can turn off the alarm feature before loggin off and turn it back on when using your computer again.

Now this is only theory only since the free version of zone alarm is kind of crappy and I bet you can't manually block a single ip.

My second suggestion is to change firewall and use Agnitum Outpost.
With that free firewall, you can block an IP without getting a stupid popup alert whenever someone tries to connect to it.

This will work even if your brother reinstalls messenger since the ip will still be blocked.
You could even block access to the MSN Mess download site so he can't reinstall.

All in all it's a much more flexible product then zone alarm.
http://www.agnitum.com/download/outpostfree.html

good luck.