Shoutbox

I had the exact same problem.  Turns out the "Messenger Sharing Folders USN Journal Reader service" wasn't starting up like it was supposed to. 

Here's what worked for me.

Make sure Live Messenger is turned off (right click and exit Live Messenger icon in the systray)
Right click My Computer.
Click Manage.
Expand Services and Applications.
Highlight Services.
Right click "Messenger Sharing Folders USN Journal Reader service" in the Services list.
Click Start.
Open Live Messenger and you should have your sharing folders icon back.