In MSN Messenger 7 contacts can add a "Personal Message": this is a message that will appear after (or below, depending on your settings) your name in the contact list. If you see this in your contact list then your contact has added it. Your friends might not see it because they don't have MSN Messenger 7 installed
If you do, check out your contact list. Below the area where you can type your nickname you should be able to add something called a 'personal message'. You can add yourself to your own contact list to see the results
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