The messages icon will get all incoming messages. nothing you can do about that. however you can separate your SMS from it then hide it. Then use SMS icon for SMS messages and your msn icon for your MSN email. However you dont have access anymore to your BES work email. This is where the 2 options below come into play.
1. Empower your BlackBerry with HTML Email Viewer and BES MailBox
Costs $20 one time fee, but will give you a separate BESmail icon for your work email. Will only happen for you, noone else on the BES unless they also purchase the program.
2. View Document
You will need to get your I.T. department to implement this feature (its free) and you will get a separate BES icon as well. This one however will happen to everyone on the BES. If anyone else does not like this feature and prefer the messages icon approach, they can simply just hide the BES mail icon.
Hope this helps