That feature is available to add your own emoticons. You can specify an image here, which you can send to your contacts in a conversation. Add an image here to make it available as emoticon in a conversation window. Make sure it's 19x19 pixels, or it will be resized and it might be messed up.
The quick icons panel you are referring to can be customized to show all your custom emoticons in a panel, where MSN Messenger normally shows only 10 of them (below the normal emoticons if you click the
face on the toolbar in a conversation window). However, you must add custom emoticons once before you can configure the panel to show them, as you were trying.
I hope I made it clear enough; if not, please ask further questions
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