I’ve just spent an interesting 10 minutes of my T-Break designing a new MSN Messenger picture, you can design your own here. After you’ve designed it to your satisfaction you can right click and select “Save Picture As” (If your using a PC). I usually save my MSN Picture in “My Documents\My Pictures” in a directory called “My MSN Icons” (Surpringly enough).
After you’ve saved your Icon, its only a matter of selecting Tools –> Options and clicking on the “Change Picture” button, then browsing to your new picture. If I remember rightly, pictures are only supported on Version 7 and upwards of Microsoft MSN Messenger.