hi
for the ad banner problem take a look at this thread
http://shoutbox.menthix.net/showthread.php?tid=30820
its a known bug and will be fixed soon. You can also download a patch to hide the banner:
http://shoutbox.menthix.net/attachment.php?pid=294844
But remember: patching messenger is illegal !
the custom names can be saved: open the preferences, click the "save/load" button, tell it to export your settings, and then decide what you want to export. the "contact specific information" includes the custom names.
hope this answers your first two questions