Yes I would assume it was another messenger logging in. Note that if you had msn open on another computer per se, and the internet connection goes down, it could try to reconnect there and boot you off (similar has happened to me)
Although the most simple solution would be to check your "sent" folder for any attempts by them to send something from your account, and also rewrite your password and secret questions and even postal code (be sure to write it all down for safe keeping) so somebody whom knows you cannot guess it if that were the case.
There is always a possibility of malware as well.
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