Windows Live Messenger blocks messages which contain certain strings. For example, one time they blocked all .info domains and another time they blocked YouTube. Currently, among other things they're blocking TinyURL.com and .ath.cx DynDNS domains. (Blocking of .ath.cx is especially annoying because MSN file transfers are often slow and unreliable and http transfers using dynamic DNS domains are an alternative.)
This filtering is server-side. It happens even if both sides of the conversation use a third party client (such as Miranda IM). This means Microsoft is inspecting the content of your messages! Maybe they're just doing it to block messages, but it would be easy to also do other things.
Microsoft may also be engaging in anti-competitive practices by blocking competitors' websites. I am not sure it is happening, but I wonder why else they blocked YouTube.
You may know about network neutrality and the various problems that can come up when using a non-neutral network. This is the same sort of thing, just on a proprietary service and not the whole Internet. Fortunately, there is something you can do about it: get an account with another IM service and encourage others to switch. Jabber is probably the best choice because it is an open standard and not something proprietary.