The problem is unicode...
Such characters are unicode characters and not all plugin makers make their plugin unicode compatible or aren't even aware of such 'problems' or don't fully understand the implications of some code they used (aka 'copied')...
MSN Messenger is fully unicode compatible and for this personal message it also expects to recieve unicode messages when you send that "what I'm listening to" string.
Some plugins aren't written like they should and thus contain bugs (without the developers knowing about it because they simply copy/pasted code from somewhere else without understanding the code or don't know the full proper techniques to do something in the correct way)
eg: to change that personal message you must send a specific windows command/message. This command exists in two flavors: Unicode and normal Ascii. If the developer used the normal Ascii command to send his string but in the wrong way[*], then unicode characters will be automatically converted to ascii characters and you'll get those wierd looking stuff...
*
eg: in VB, sending a literal string (which is always unicode in VB) instead of a pointer
Another reason can be that you're still using a Windows version wich doesn't support unicode nativly (eg: Win95/98/Me). Thus even using that unicode command to send a unicode string will simply result in the ascii text again (or even fail). In order to make your Windows unicode compatible you need to install the Unicode Layer for Windows (but still doesn't garantuee that everything in Windows is fully unicode compatible though)...
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All in all this isn't a bug in MSN Messenger (and certainly also not in Messenger Plus!), but a bug in the plugin you're using for WinAmp, WMP, or whatever media player you're using...
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note: for those who are interested in the technical details about this 'unicode discussion' and especially about the personal message and those special windows commands to send it, take a look at a very old discussion on MSNFanatic. The main part of the thread is talk about the VB code that was posted to send personal messages and how to fix it so it implements unicode properly. So that thread there nicely shows what I talked about in this post and about the fact that many people forget or don't know how to make their stuff unicode compatible (eventhough they can be excellent programmers otherwise, don't get me wrong on that 
).
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