This article on CodeProject explain most common licences:
http://www.codeproject.com/info/Licenses.aspx[
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Essentially, to answer you question, a licence that comply with their licence mean that your application licence must conform to their licence. That is you cannot have a clause in your license that would goes violate that license.
As far as I understand the Ms-Pl licence, if you only distribute the binaries (and not the source), you do not need to indicate that...