Click with your right mouse-button
on the emoticon you like to add.
Select "Save picture as Save image in the
directory you prefer (most probably you open
the directory "My Pictures" or "My documents".
Open MSN Messenger Click on 'Tools' in the menu
on top of your screen.
Select "Create Emoticons..."
Click on the button Add
Click on "Find Image..."
Open the directory where you just saved your
emoticon and select emoticon.
Give a shortcut for the emoticon and click "OK"
You can now select the emoticon in MSN messenger.