msn.com - home page in IE (mystery solved): "... If you use ad-aware, that is where your problem comes from. For some reason, this program sees your home page set to blank as a potential threat, and, if you don't set your exclusions properly, will reset your home page to the default (msn).
Next time, place this particular entry in your 'ignore list', this will take care of the problem."
Surprise! It wasn't Microsoft... (Thanks to Bob Balaban for the hint)