I opened aMSN and closed it, but when I try to re-open it, it says that I already have an aMSN session open, but I cannot see my icon anywhere to re-open it.
Most likely you are using Ubuntu 11.04. Ubuntu is trying to phase out the traditional gnome panel notification-area in favor of the freedesktop.org spec compliant indicator-applet area. It's likely that aMSN has not supported indicator-applet, hence no icon.
Notification-area is still there on your panel. If you happened to have removed it, you can always right click on the panel to add it back. The issue is 11.04 blocks most application's notification-area icon, unless it is in a white-list.
To add an application to the white-list
in your case, yourapp should be replaced with aMSN. but make sure the case is correct...