Make sure the picture you are trying to set isn't too big. Also note you won't see the DP bigger yourself but your contacts will.
If your contacts use MSN 7 beta they will need SPNG installed (and set to allow bigger DP) aswell to see the DP bigger (MSN 7 auto resizes them). Those using MSN 6.2 will see them even without SPNG installed.
Edit: yw