You may not have "What I'm listening to" Enabled. follow the instructions below to do so.
On MSN Messenger 7.0, click on the drop down menu on the personal message. Then click on "Turn on "What I'm listening To""
There should be a tick next to it if it is enabled.
(mine isn't currently enabled)
Alternately, you can go to Tools > Options > Personal
and make sure the option is ticked
If this doesn't work, post back. But it should.