GlimmerBlocker is no longer maintained and should no longer be used as web sites have migrated from using plain http to using https (i.e. encrypted) which prohibits modification by a proxy unless you resort to install custom SSL certiticates on the client.
You should use a browser extension instead.
It was made as a hobby project during 2007-2008 by Peter Speck. It features both a custom http server and http client and a Mac OS X control panel.
It seems like MSN Messenger doesn't work with http proxies: It fails when using GlimmerBlocker and it fails when using Apache as proxy server. I've yet to find a http proxy server which Messenger works with.
One possible solution is to upgrade to Adium which Just Works.
Another solution is to tell Messenger to not use an http proxy. Select "Preferences" from the "Messenger" menu, and update the proxy settings like this: