Well, I got many many manyyyyy annoying people on my msn, and I was wondering if someone could make me a script so when the person I dislike messages me, it will say to them "Message could not be delivered to all recipients" but I still get the message.

Simple Answer. No

Surely the simple solution would be to just delete them and be done with.

Anyway, I do think its possible, but requires extras.

If you have Plus! and StuffPlug then you could write a script so that when a message from certain predefined conatcts it will automatically send "!action Message could not be delivered to all recipients".

That would work, although I reckon you're probably best to just assign it to a quicktext or something, and only use it when you cant be bothered.  It's a lot simpler.

Will they need MsgPlus?

There's a block button for a reason.
If you use the StuffPlug method, it won't show the X icon at the start of the error message.