The way it will probably work is

Your bags will be tagged all the way through to MSP. When you arrive in Chicago, you will clear immigration, get your bags, and clear customs. Once you clear customs there should be a baggage drop area for bags going to other places. When you pick up your bags to clear customs, make sure not to remove the tags to MSP if they put them on on London.

You drop off your bags, you may have to get to your terminal, and will have to clear security again, and off you go.