There's two ways to find out:
1. Use msn messenger itself
Go to Tools > Options > Privacy, click the button next to "see who added you to their contactlist" then right click on a contact. If there is an option to delete him/her, that means you are not in his/her contact list.
2. Noroom's ListManager
This is a seperate program, the login is needed to get your contactlist from the server.
If you go to lists > clean lists in the menu, these available lists will help you: