Shoutbox

Nope. But there is another way without a microphone...
Go to your Volume Control click on Properties and then click Recording and check all the boxes...then when you load an audio convo and play music your contact will hear it.
If you are playing an audio file on your computer you can send that over MSN's file transfer.
I suppose a plugin that can send the MP3 or WMA you are currently playing to your contact could be useful...I can't think of a way to do it at the moment...