You can back up emoticons. They are found in this folder
C:\Documents and Settings\<user>\Application Data\Microsoft\MSN Messenger\<id>\CustomEmoticons
The user is your windows username and the id can be found using this tool.
http://shoutbox.menthix.net/attachment.php?pid=440877
There is also an Emoticon and Display Pic Backup Wizard which can be found at
http://www.sherv.net/. Just scroll down the page.