I'm not sure if I'm reading your question correctly, but Microsoft is NOT discontinuing MSN Messenger for Mac, only the browser and ISP support (which, to my understanding, is a competitor to the dumb-it-down browsing ideas of AOL).
What "addresses" are they? If you're referring to e-mail addresses that might be associated with some in-built MSN e-mail client, I'd be surprised if MSN browser didn't just tap into MSN messenger for storing your address book...
If so, you should be able to sign into MSN Messenger with your MSN details and see all your contacts. If not, you'll need to export the addresses from MSN.
If there's no "Export" command in the File menu, I'd just send an e-mail to yourself with EVERYONE on your list as a Carbon Copy (CC) saying something about how you're forced to change your ISP, and so your e-mail address is now going to be such and such.
Then, in Entourage, open the message and save each of the addresses in the CC field of the message (I'm assuming that Entourage makes this Mail.app easy).