This is a known issue.
The best thing to do is to report it to Microsoft. Also, remember that the both MSN Spaces and MSN Messenger are BETA, so problems like this might happen.
I can't remember where this was posted, I'll look it up, and post the link, for a discussion about this (note: this does not fix the problem, but you can read some suggestions).
Also, make sure it's from the same account, as marissa said.
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Here is the thread]
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