What you're asking about is known as IM "network interoperability." Unfortunately, at this time AIM/AOL IM users can add contacts on Google Talk and Apple iChat, but not MSN or Windows Live Messenger. 

For more information about interoperability, check out http://www.bigblueball.com/im/interoperability.php

Hopefully someday all the big IM programs will allow interoperability. Technically it is possible, but they are also competing for customers, so they don't always play nice. 

There are some third-party instant messaging programs that allow you to connect to your friends on both AIM and MSN, but you would still need an account on both networks. The good news is, those accounts are free. It's just inconvenient. I recommend Adium for the Mac or Digsby on Windows (both are free).