For MSN it holds a lot of weight. For Google it doesn't hold a lot of weight directly, unless your search term has very little competition, but can be influential indirectly. By having your keywords in your domain name you encourage other webmasters who link to you to use those keywords in their anchor text to your pages. That, as well all know, can have a big impact on your rankings in Google.
It's not so much number of results as that is in accurate and misleading. Just having part of the keyphrase on a page or in a link to a page can make a page be included in the page count but the page may have nothing to do with the topic. It's how many people are truly targeting that keyphrase. A quick scan through the SERPs can determine that as it is usually obvious how many are targeting it and how many are just incidentally ranked for it.
Another way to check is to do keyword research using keyword-discovery.com or wordtracker (or even the adwords tool). They give a good indication of how many people are searching for a term and its competition is usually directly proportional.