Messenger has also his own additional APIs (it uses a lot of Windows APIs also of course; just as every other program does). To be more precise, it is Windows Messenger which provides the APIs used by some functions of MSN Messenger.
Many programs have their own APIs. The Win32 APIs are part of Windows in general, each program might come with its own additional APIs.
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PS: thanks Patchou for correcting my previous post I should've known VS7.1 was old and you use VS2005 now