Looks like it's here now - Mike mentioned this was coming last week.
I'm still checking it out, but it looks pretty cool so far.
MSN's instructions for adding the clicky things ("Buttons, Tristank, they're called buttons") and on syndication with RSS for web site publishers is here.
[Update] The sample image button code on the site is an image itself at the moment, making copy-and-paste a little tricky. My hacked-up version is here (don't forget to copy the mymsn.gif image to the same directory as your website).
<img width="71" height="14" border="0" src="mymsn.gif" alt="Add to My MSN" title="Add to My MSN" /></a>
[Update 2] More from Mike.