IMPORTANT: Microsoft is replacing Windows Live Messenger with Skype. All your contacts will be moved automatically. Take a look at The Complete Guide to Moving from Messenger to Skype for more information, alternatives and tips.
One thing that's really annoying about Windows Live Messenger is the amount of banner ads that you receive in the program.
Normally, there's no way to stop them but Live Advert Remover (formerly known as MSN Advert Removal) blocks all advertisement banners from being displayed in Live Messenger. Unfortunately, it doesn't seem to work with the 2009 version of Windows Live Messenger but it supports all previous versions of Live and MSN Messenger, and you only need to run it once to "patch" your system.
It works by running a script that blocks MSN Messenger from communicating with the advertising banners, although it does make the default Live Messenger banner disappear completely. It should also be noted that it does not work with Messenger Plus! but the simple answer to this is to uninstall the Messenger Plus! extension if you have it.
Live Advert Remover blocks pesky ads from getting in between you and your contacts in MSN Messenger.