What they mean is that GAIM works 'out of the box' so to speak.
In one of my brain fart moments I couldn't get MSN to work either, until I found that in the account set up screen I had forgotten to switch the account type from AIM/ICQ to MSN. You also need to put in the complete user name as registered with msn, so something like firstname.lastname@example.org
or msn.com or whatever it is...
See how you get on, and if you still have problems then post back and I'll look into it some more. I'm presuming that you have nothing out of the ordinary installed on Ubuntu?