OK, after doing some basic research on the MSN protocol, I have discovered the following.
Each full command, including it's arguments is termanated with a CRLF.
When using eggdrop's "connect" tcl command, you need to put the connection under control of a script. Once this is done, the script is free to do what it wishes with the connection.
The script that is called when data is available, is passed the IDX of the connection and the data sent. The script is called once, each time it meats a CRLF.
The data the script recieves is CRLF sriped, so there is no need to get any such message, as this has allready been done for you.
To kill a connection, you use the "killdcc" command. You pass it the IDX of the connection.
For more info on the MSN protocol (and the basis of my reasearch) view
This page (Section 5.2 for command syntax)