Dodraugen2k, this specific feature was in aMSN 0.94, and IIRC removed till 0.95. Now, if you use SVN (I don't know about 0.96), when you let your mouse over a contact, you get:
Last message received : 15/01/07 - 23:45:12
Last message received :
if you never received messages from the user since you installed aMSN.
So you can't see any more (and AFAIK it's not planned to display this info again) the last connection in the info box.
If you need it, as Fenix said, go to your contact's properties.