If you launch MSN Messenger instead, by trying to connect at first time, a wizard will be displayed and guide you through messenger and Passport account setup. In three or four steps, your new Messenger account will be ready.
However, when you use Gaim, first you need to locate the "Accounts" button in login window (however, GUI appears to be inviting you to type a login and a password but, what login?) Next, you need to select the protocol, put your login data, mark "automatic login" and "connected" and so on.
And of course, if you don't have a Passport account, you must know that you need to open a web browser and go to Passport.NET to setup a new account... (yes, with Jabber it is not neccesary to do this step, however, other problems persist)
I'm sure Gaim is a great client. However, with these "usability" problems, I think that a lot of people will continue using proprietary clients and networks for all. So, they will continue to put their systems in risk (viruses, trojans, etc). The success of other free (Libre) programs for Windows is, in part, based in their ease setup. For example, Firefox.