When attepting to get String data from Messenger via either <obj>.MyFriendlyName or <obj>_OnMyFriendlyNameChange, the String value that holds the current/previous nickname is empty with MSN messenger, but filled with Windows Messenger. In C++, the value is filled with either program.
This behaviour manifests itself not just under XP, but also under 98 as well.

What on earth is going on, and how do I get MSN Messenger to fill in the data properly?

I remember having this problem in Plus!... the only way I found to go around it was to keep a list of current names for all the contact list and use it when a namechange event occured instead of the oldname parameter.