The MSIMG32.dll is hidden in the "C:\Program Files\MSN Messenger" so you will need to enable the option to show hidden files, are you sure you got that option enabled?
I will attach MSIMG32.dll to this post. You can download it and put it in your "C:\Program Files\MSN Messenger" folder.
If that still doesn't work, I suggest you to download and install the newest version of WLM, 8.1. I think you can download it here:
http://get.live.com/messenger/overview
vikke