Go to controlpanel and choose Sounds/Audio Devices. Go to the second tab called "sounds", inthere you will see a list of events..scroll down to MSN Messenger, select those you don't want a sound for..choose [none] in the drop down list. If you done all of em click on OK.
You can go there directly through MSN messenger aswell. If i recall correctly the sound button is located in tools > options > alerts and sounds.
/ 
