The bottom of the Windows Live Messenger will display ads to you, if you feel that it's annoying you time to time, there's a way to block it.
First go to Internet Explorer (or you could go to Control Panel), click on Tools --> Internet Options. Click on security tab and select restricted sites. Then click on sites and enter http://rad.msn.com
Click Add then Close and OK when finish.
This will restrict the Microsoft ads server and you won't see any ads in the future.