To date, there have been no reports of adverse reactions involving MSM and other medications. Although interactions with MSM haven't been reported, it hasn't been well tested to see if drug interactions may occur.
MSM works to reduce pain. Patients who take MSM may find it to be so effective that they are able to reduce or eliminate other pain medications, such as Vioxx, Celebrex, ibuprofen, or other NSAID's.
This is from About.com --
General Interaction
If you are on a blood thinner (anticoagulant), such as aspirin or warfarin (Coumadin), consult with your doctor before taking MSM. It can occasionally have a blood-thinning effect.