My guess would be that you've been infected with some sort of Mac MSN Messenger worm -- apparently it's sending out messages with a link to the worm to infect people on your contact list. First of all, stop using MSN immediately, for two reasons: a) you don't want to infect other people, and b) you don't want to spread or make the infection any worse for yourself.
The second thing you should do is start cleaning out anything MSN-related:/Applications/Microsoft Messenger
~/Library/Preferences/Microsoft (entire folder)
Deleting all of the above should get most of it. It wouldn't be a bad idea to scan with Spotlight for any other MSN-related files.
Thirdly, you should install some sort of antivirus software, if just to ensure that you've disinfected your Mac. Probably the best free one available for the Mac platform is ClamXav , so download that one and scan your hard drive. Some good commercial software include Norton Antivirus by Symantec and VirusBarrier by Intego. Both are very high quality and have received very praising reviews in magazines such as MacWorld.
Once you're confident that you've completely disinfected your Mac, go ahead and re-download MSN Messenger.