You're off topic for this forum, which is dedicated to Windows Live OneCare.
Support for Windows Live Messenger and other Windows Live programs and services: http://support.live.com
Help topics at http://help.live.com
You will also find Messenger newsgroups here:
http://www.microsoft.com/communities/newsgroups/default.mspx
However, the answer is, yes, malware can be spread through Instant Messaging programs such as Windows Live Messenger.
-steve