1) you could get this script:
http://shoutbox.menthix.net/showthread.php?tid=64275
2) Install MSN Messenger or WLM (whichever you are using), skin it with a skin that changes the trayicon, rename the "MSN Messenger" folder in C:/Program Files to something like "MSN Messenger 2", install it again and one of you run the original and one can run the skinned version
3) Same thing as 2, accept that you reshack messenger in one of the folder and change the tray icon (probably a tad too complicated)