Can I use programs like Skype and MSN Messenger when I internet via Wireless Leiden?

Yes, you can get those programs to work by defining the proxy (if you use a proxy; this is no longer necessary since 2012) in your settings. Which proxy works best depends on your location, so try different settings. If you use linux you can define a system proxy by the statement
export http_proxy="http://proxy...wleiden.net:3128".