MSN Messenger Display Name

[MSN Messenger Newbie]

I just signed up for MSN Messenger and it won't let me
change my display name when I click
Tools/Options/Personal/My Display Name. In the box
under "Type your name as you want others to see it", it
has my email address followed by (E-mail Address Not
Verified). Does it take several days for MSN to give you
the ability to change your Display name? Or do I have to
have a hotmail email account to be allowed to change my
display name? Or am I doing something else wrong?
Please let me know if you know!!!
Thanks!