I don't have an MSDN subscription, but I do write off a bunch of my expenses - books, software, hardware, etc... In my particular circumstance, though, I get income from consulting - basically self employment. So I write them off as a business expense to offset the income derived from my "business".

Not sure what the rules are for employees. If the employer requires you to purchase the software or it is necessary for your source of income, then it is tax deductible. IANAA*, though, so I don't keep up with the rules. My Father-In-Law is a CPA, so I don't usually think about such matters (I'll ask him the next time I talk to him).