I am personally using all 3 PPC programs at the moment (YSM, Adwords, & AdCenter). I would listen to your friends advice and just stick with Adwords and YSM. I am finding MSN to be a waste of time. The amount of traffic I generate is far less than that of the other 2 PPC programs. I really do not see it being worth the hassle.
On the other hand, even though the amount of impressions and clicks are about 1/10th of the other two, MSN does have a fairly decent conversion rate.
But in the business I am in, I am not seeing the need to waste my time with MSN anymore. That is just my two cents.