Shoutbox

I think they are referring to the custom names feature, but when they upgarde to WLM and Plus!Live they lose all their names.

Unfortunately, this is not something that could be ported over.  You'll have to type them all in again.  The only other suggestion I could think of is to go into the registry and see if you can find the custom names and move them over to Plus! Live's registry key.  I wouldn't recommend that though because I'm not sure if it will work, and messing with registry when you're uncertain is not a good thing to do.