Hi,
I want to set Avast as antivirus for Email in MSN Messenger, but I don’t know the name of .exe file
Regards
Avast has the IM (Instant Messaging) provider for that. See the on-access control panel. Read the help file for details.
Most probably, you can direct it to C:\Program Files\Alwil Software\Avast4\ashQuick.exe 
Welcome to avast! forums !
Here is a link for one of my previous posts, take a look in there, you will find some pictures as well.
http://forum.avast.com/index.php?board=1;action=display;threadid=9910;start=msg83418#msg83418
Last time I checked MSN Messenger was sending mails via the default mail client - eg. Outlook, but it is possible they have changed it recently. If Messenger uses standard POP3 and SMTP protocols it is automaticaly protected by avast! (on Windows NT based systems).