For now, it's impossible to include videos in a post on MSN spaces (even videos from SoapBox ;-) ). The embed tag seems to get filtered out. This is the dev team's answer:
We currently run all blog posts through our safeHTML filter that strips out potentially harmful code and profane text. This includes removing all embed tags (in order to protect users from running unsafe scripts on their Space) which is why your Soapbox player doesn’t show up in your entry. We realize that enabling users to embed videos to their blog posts is a very valuable customer experience and are currently working hard to get this implemented in our upcoming release.