err imo you cant do this unless the user sends you the font cause
A) You can copy anything from his pc without his consent.
B) Messenger sends info as to the text and the font name and your pc parses it and uses the font (if you have it). If you dont then it uses a default font. This is how the msn messenger worked last i checked so im assuming the same would be true for wlm.
So
NO this is not possible (afaik)
Alternatives,
A) ask the user to send the font
B) make a script which the user can run when you ask for his font and this script will initiate the file transfer.
The latter, though sounds good, stil requires your contact to have the script. Meaning you could basically rather ask the font name and search it (if its rather common/famous) or just tell the user to send it to you via a msn transfer
/ 
