It is not possible to write a script or tool which does prevent this in a proper way.
Each tool which does something like this has limitations to what it can do.
The reason is that this is simply (but unfortunatly) how the Messenger protocol works.
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There is a
script which shows you a dialog and lets you choose to cancel the conversation or not.
But this script will
NOT prevent the group conversation from happening. A window will still be created and you will still be added to the group conversation. And as such, other people in the conversation, who may be total strangers to you, will still be able to see your Windows Live ID. Which makes this script useless for you and/or to protect anyone's privacy.
All the script does is showing you a dialog after you've been added, and if you choose "no, decline the group conversatoin" the group conversation window will be closed, that is all. But again, by that time, the damage is already done....
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The addon called
Messenger Discovery also has such a feature, and this one works better as it intervenes at protocol level. As such, a group conversation window will not be created. Though, this too will
NOT totally protect your privacy as it is still possible for the strangers in the group conversation to catch your Windows Live ID.
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I strongly encourage to report this to Microsoft as you're not the only one who finds this highly annoying (and a breach of your privacy):
http://support.live.com/eform.aspx?productKey=wlmessenger