Tony,
That's a good question. Generally with WebParts, in order to load a webpart from a third party website, they would have to provide a WebPart package file to download. Codeplex has a lot of samples: see http://www.codeplex.com/site/search?query=webpart&ac=8. So, if you were looking at a site like MyMSN, it's not likely you would be able to load web parts from that site.
There may be other ways to integrate that data, though. For example, you could offer a web part that acts as a proxy for data within other environments. So, let's say that you have an RSS feed that you want to allow people to add to your site. In this scenario, you could create (or use a third party) web part that reads RSS, and allow your users to simply configure it to read MSN news or Yahoo! news, etc.
One other area to explore might be a portlet specification like JSR-000168 you can download from http://jcp.org/aboutJava/communityprocess/final/jsr168/index.html. This is an attempt to standardize Portlets (i.e. Webparts) that some companies have adopted as a way to share them across the web.