Hi NimrodYanai,
I share your opinion about the Windows Live Messenger 2011 smiley's! There are a few options available to us to solve this discomfort.
1- It's actually possible to "skin" your Messenger which replaces all of the default smiley's in Windows Live Messenger 2011 to their corresponding smiley's in Windows Live Messenger 2009, however this would only be visible to you, not other people using Windows Live Messenger 2011. (Even if you use Windows Live Messenger 2009, people using Windows Live Messenger 2011 would see the new smiley's.)
2- You can indeed add every smiley one by one from this forum as Custom Emoticon, however they can not replace the default smiley's.. they will each require an alternative key input.
2a- You may look for an emoticon pack on various websites, unfortunately
http://www.msgplus.net/Downloads/Emoticons doesn't seem to feature any Emoticons at all..
Hope this helped, good luck on your search.