Guess what? I got the same but in
C:\Documents and Settings\<account name>\Application Data\Microsoft\MSN Messenger:
- number 0 folder containing 1 file: sqmdata00.sqm
- 62 other number maps...all with user tile folder and nothing in it....
- VoiceClip folder
Now this used to be where your personal settings are stored like DPs and Custom Emoticons...strangely enough i don't see them inthere anymore, yet MSN Backup and CE/DP Backup Wizard do find all the files
In the folder you mention i got no MSN Messenger folder. I also noticed Windows Live Messenger beeing in add/remove programs list twice...
Somehow i think this is a WLM bug of somesort....
OS: WinXP Pro SP2
WLM v. 8.0.0812.00
Plus! v. 4.01.0.240
/ 
