I know it's easy enough to spoof email addresses. Over the years, I've received several from "myself" on the yahoo account I use for signing-up to websites and newsletters.
However, at the time this effected me I had never used MSN nor an email client (for hotmail at least). A quick search on Lycos (thats how far back we're talking
) showed several people in the same position - No MSN, no Outlook and a negative virus scan using a variety of AV software, all sending emails to a video site (that presumably asked you to install a fake codec that also installed a virus).
Anyway, as you hinted, vigilance is key: spam filters, using 'disposable' email accounts that don't contain your main address book for e-newsletters, shopping etc and keeping your antivirus, windows, messanger and other softwares up-to-date.