Well, you need to make sure the realplay.exe file isn't infected...Win32.Bugbear.B (and it's many variants) is known to target RealPlayer and other applications, and it does indeed have a keylogging function.

I haven't looked into the MSN angle yet, but I'd bet money it has similar known problems.

http://www3.ca.com/securityadvisor/v....aspx?id=35384