RE: HUGE problem qith the Sponsor :S try using ad-aware, that should work :P (or you 100% sure its the sponsor program? i was never aware it produced pop-ups)
RE: Plus! Bug, Doubt there is a fix. maybe you could make something that the moment MSN messenger window is shown again the convo screens are automatically re-shown again aswell?
Disable sound for specific user is there anyway (besides blocking that person ofcourse :P) to disable sounds from a specific user but to keep it on for others (may also be the other way around, generally disabled but enabled for specific users) and if not.. could it be incorperate...