After working for a couple of customer-facing Microsoft departments and being married to a Microsoft privacy champ, MS will NEVER EVER EVER EVVVVVEEEER ask for a social security number. The most personal they'll ever get is email, phone, address, birthdate, and general profile questions (job role, etc).
MSNIA is their internet access via MSN (not the URL: http://explorer.msn.com/msnia.htm), which again will never ask for a social security number.
You should report this to MS - they'll be interested to know of a scam using their name. You can contact them via http://support.microsoft.com/contactus/?ws=mscom.
You should also report it to eTrust since they're the ones who validate Microsoft's sites. https://www.truste.org/pvr.php?page=complaint