It sounds that some file may have got corrupt. You can try the following procedure to remove all Custom Emoticons related things.
Go to the folder
C:\Documents and Settings\Username\Application Data\Microsoft\MSN Messenger\number, with Username being your Windows username and number the number that symbolises your email address. If there is more than one folder, use the program I attached to find out which number is correct. Open the attached program, enter your email address and you'll find out easily
Open that numbered folder and delete the folder called CustomEmoticons. Reboot and add your custom emoticons again; your problem should be fixed
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Attachment: 
