For a specific site, as msndude said, there are always issues of the demographics of the search engines userbase.
As well as msn having 1/3 of Google's traffic, probably the other statistic which affects msn referrals is where users click.
A survey published in April last year (with about 1600 participants) showed that around 72% of the surveyed Google users clicked on the algorithmic results rather than the paid. But only 29% of msn users click on the algorithmic results - the majority hit the paid.
So by the time you factor in the demographics of the msn search engine/ lower traffic/ more likely to click on the paid adverts - the amount of traffic your specific site will get from msn from an algorithmic only campaign could be understandably low.
And the converse could also apply - e.g. if your strategy was to just rely on e.g. AdWords only in Google.
Historically (pre 2002) - didn't we all do the Looksmart thing for the msn traffic and conversions?
The traffic & conversions are there - you just need to understand that not all search engines appeal to the same users, there are paid and algorithmic options, and you can't target all customers just one way.