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of cource it doesnt work... you need to make it!
go to MSN Main > Plus! > Preferences > Message Helpers
and in the BIG text box... write whatever you want... (example: Bobby Joe) and in the small box under it, type "me2" or whatever you want. click apply or OK. go into a conversation window.
type the command (/me2) and the text you entered will popup (bobby joe) you can also use colour
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Ctrl+K
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if your planning on using your real name in a convo (i fully read your post) you can always use things like
(!NP) = your contact name.
heres a complete list
http://www.msgplus.net/help_cmdtag.php