Shoutbox

One tool that might interest you is the File and Settings Transfer Wizard on Windows XP (Start > All Programs > Accessories > System Tools) That will take care of any kind of settings or files within Windows that you will want to transfer. For settings within MSN / WLM, I recommend a program called ConCon that will save all your settings there (custom emoticons, display pictures etc).
Plus settings can be exported from the preferences window, any emotion sounds can be exported to a sound pack. Scripts and skins should be reinstalled instead of copied.