can you please check if the dp remains the same when closing and re-opening msn messenger? if no, read below
the problem is linked to the settings stored in the msn messenger application data directory. i'm not sure what would be the problem... it might be because map.dat is read-only, or you have a damaged part on your hard drive.
what you could try is resetting your dp's and custom emoticons by clearing your folder in your appdata directory. to do so, exit msn messenger first and then go to start -> run -> type "%appdata%\Microsoft\MSN Messenger" with or without the quotes, doesn't matter, use
this tool to calculate your passport hash, and delete the folder which has the same number as your passport hash.
everything
will be reset, but it might help to make it work (you can always make a back-up of the folder anyway)