This girl has no right to go to the trouble of looking you up on MSN with the sole intention of having a go at you, mainly saying 'stay away from my man'.
I reckon the only reason she feels the need to do this is pure and simple jealousy. She doesn't like that he has other close friends, especially girls, and so she's going to do all she can to get rid of them.
Does he know what she's done? I wouldn't say go out and tell him cos that'd look like you were trying to cause trouble, but if he asks, don't deny it.
Sound like you think the relationship won't last so I guess that as you haven't fallen out with him, just be there for him if it all goes wrong.
And, in answer to your question, when people get boyfriends/girlfriends, they shouldn't be expected to give up their friends, nor should they want to or be told to do so.
Do you just see him as a friend, or would you rather he was something more?