Click on any thumbnail to play
If you then want to download it, right click on it and select "Save As".
(Or just drag & drop it to the Desktop.) Now open up your MSN Messenger and browse the top menu to
"Tools" -> "My personal emoticons..." Click "Create" within the new window that just popped up. Now browse to the animated .gif-file you saved from Dirtymsn.net.
The rest of the process should be rather obvious. If you get stuck though, you can always click "Help" in any of the MSN Messenger windows.

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