From your post I'm assuming you have dial-up internet access. While IE has a connection manager, Firefox does not, assuming that you are already connected to the net, usually via broadband. However, you can set it to automatically connect by following the directions available from Mozilla by clicking here.
As to your second issue, I'm wondering if you are opening MSN mail from a link in Firefox or from MSN Messenger. If you mean the latter, you need to download some software to avoid this, as MSN Messenger is designed to launch IE no matter what your default browser is. You can read up on the issue by clicking here. You can also click here to read a thread of suggestions in the Mozilla forums concerning MSN links opening in IE instead of Firefox.
Hope this helps,
I have just recently switched to Firefox but have 2 little questions i was wondering if anyone could answer :). Firstly, when i used to use IE, launching it would connect me to the internet straight away but when i click to launch Firefox, i am not connected to the internet and have to 'manually' do so. And secondly, when i go to check my e-mail from MSN - it opens an IE window - even though i have made Firefox my defualt browser. Not sure how to fix these two problems.