Hmmm, no GENERAL tab, eh? Are you using Windows Messenger or maybe an older version of MSN Messenger? (These aren't the same program) Perhaps installing it again, or installing the latest version, might correct the problem, because the option you are looking for is set as default when you install the program. If you want to download the latest version (which is 6.2 as of the date of this post) you can get it easily from here:
http://messenger.msn.com/
Other than that I'm afriad I'm about as useful as a kick in the nuts. Sorry lol
P.S As for the SP2 firewall idea: I wouldn't imagine that Micr$oft would block one of their own programs, but then again you wouldn't imagine that my dog used to eat its own vomit, but it does, so, you never know :P hehehe