I would pretty much guarentee it is BS. Either he's a 12 year old kid trying to prove a point or an idiot.
1. Hackers dont tell you they just do it and maybe mention later or leave a message.
2. To even tell you on MSN is the most stupid thing i've ever heard. All you need is his name and to report him to MSN they will track him down under the Homeland security act if you are in the states or the anti terrorism act elsewhere.
Certainly take all the precautions as you should indeed do anyway, however I would think you are safe. If you are still unsure then contact MSN and inform them of what the situation as I would.
A similiar thing happened to me 18months or so ago in a Lobby used for meeting fellow Ghost recon gamers. They where using mIRC to hack into peoples accounts and causing no end of trouble. The idiots just dont know when to stop. I personally spoke to a good freind of mine who in turn spoke to her good freind (One of the Heads of the UBI UK) within 2 - 3 months or so it was admitted it had gone on enough. The entire game lobby was closed down. Idiots fcked it up for everyone!
Moral, never mess with people you dont know. You may come out worse!
Good luck