I have applied a patch that able to remove the annoying advertisement for MSN Messenger. The patch not only able to remove the advertisement but many others [features] that come with the messenger.
My MSN Messenger is Version 2008 (Build 8.5.xxxxx). Go to http://apatch.org/downloads.php and download A-Patch for Windows Live Messenger 8.5. Extract the zip file and run the .exe file. No worry, it's safe. This is a cool patch with preview feature during the selection of unwanted feature. Try it.