FLC OF DC9 HAS CABIN PRESSURE ANNUNCIATOR ILLUMINATE. THEY DSND TO 10000 FT AND ARE USING UP FUEL FASTER THAN FLT PLANNED. DIVERT ARPT HAS POOR WX AND THEY CONTINUE TO DEST. ON FINAL APCH A WIND SHEAR WARNING IS ISSUED. MISSED APCH EXECUTED AND A WIND SHEAR ALERT IS GIVEN ON SECOND APCH. THEY CONTINUE APCH AND LAND DUE TO LOW FUEL STATE.

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WE DEPARTED IFR DTW TO MSY AFTER BURNING ALL PLANNED CONTINGENCY FUEL ON THE GND WAITING FOR TKOF CLRNC. ABOUT 40 NM S OF JAN; ATC CLRED US TO FL310 FROM FL350. AT APPROX FL330 BOTH THE MASTER WARNING LIGHT AND THE CABIN PRESSURE ANNUNCIATOR HAD ILLUMINATED. THE CABIN ALT INDICATED 10500 FT AND CLBING AT 1000 FPM. WE INITIATED THE CABIN PRESSURE LOSS AND RAPID DSCNT CHKLIST DECLARING AN EMER WITH ATC; AND DSNDING TO 10000 FT. THERE WAS AN AREA OF TSTMS APPROX 100-150 NM N OF MSY AND WE DSNDED INTO THIS AREA. AFTER ENCOUNTERING HVY PRECIP; MODERATE TURB FOR ABOUT 40 NM; WE BROKE OUT OF THE MAJORITY OF THE WX. AFTER CONSIDERING A DIVERT TO JAN (THE WX LOOKED WORSE TOWARD JAN); WE PROCEEDED TO MSY. WE WERE NOW 100 NM FROM MSY AND BELOW FLT PLAN FUEL DUE TO STRONGER THAN FORECAST HEADWINDS AND NOW A CRUISE AT 10000 FT FOR 100 NM TO MSY. THE REMAINDER OF THE CRUISE WAS UNEVENTFUL UNTIL WE WERE ABOUT 500 FT ABOVE TOUCHDOWN AT MSY. THE WX AT MSY WAS 2500 FT SCATTERED TO BROKEN WITH STRONG GUSTY SOUTHERLY WINDS. AT 500 FT; MSY TWR RPTED A WIND SHEAR/MICROBURST ALERT WITH WINDS IN EXCESS OF 25 KT GUSTS. WE IMMEDIATELY EXECUTED A GAR AND AT 1500 FT DECLARED MINIMUM FUEL. MSY APCH CTL VECTORED US BACK FOR ANOTHER VISUAL APCH AGAIN. ON SHORT FINAL; TWR ADVISED US OF ANOTHER WIND SHEAR ALERT. HOWEVER; DUE TO OUR LOW FUEL STATE; WE ELECTED TO LAND. THE AIRSPD WAS STABLE AND THERE WAS NO TURB. WE TAXIED TO THE GATE AND HAD 3000 LBS OF FUEL REMAINING. OUR FUEL BURN WAS ABOUT 1000 LBS BELOW OUR FLT PLAN; AND IN RETROSPECT WE SHOULD HAVE MADE A DECISION EARLIER TO DIVERT TO A REFUELING STOP. HOWEVER; OUR FUEL SIT WAS NOT CONSIDERED THAT CRITICAL UNTIL WE HAD THE EMER AND WERE REQUIRED TO DSND QUITE PREMATURELY TO 10000 FT.