Shoutbox

Ah, the Messenger API isn't quite what you're looking for here. Unless you want to catch the creation of conversation windows, which in that case I recommend you take a look at http://www.rpsoftware.net/tutorials.php?page=events.
As for adding the menu, you'll need to centre that code around a call to InsertMenu(). The MSDN Library has fullinfo on InsertMenu(), and it should be easy to find.