Ellio - "Filter" would probably be a more appropriate term than "penalty," though I'm guessing here that MSN would treat same-page multi-url issues like this similarly to the way Google does. This used to be that the "page" (or url) with the lowest PR gets dropped, but I'm seeing also that both MSN and Google will index both urls if each has enough links to it.
I have seen the directory/index.htm issue confuse both MSN and Google enough that, if you change the page, MSN will display two versions of the page for a while. The situation can confuse inbound links, and eventually can create even more confusion.
On Apache, there are ways of rewriting the index url to the directory form, but there are some tricky considerations involving possible feedback loops. I did a quick search to see whether I could find anything on this for IIS, and I didn't.
There's a big discussion about dupe content in the Google forum, and while it's addressing mostly Google problems, I've seen the same problems on client sites across all three engines. Take a look...
Duplicate Content - Get it right or perish
Setting out guidelines for a site clean of duplicate content
You might check the WebmasterWorld IIS Server forum for thoughts about the necessary rewrite. If you don't know what you're doing, it would make sense to hire someone to clean up these problems for you.