Shoutbox

It is possible that this message is only triggered if your computer is infected with a trojan. It is programed to relay an IM adddress (as well as perhaps more infomation) back to a server and in responce the server sends an automated message back to the MSN client outlaying a threat. If you respond its likely the serevr will give you more infomation.
Or it could just be an empty threat sent by an automated serevr that crawls for MSN addresses from user to user.