My (wild) guess would be..
1) Uninstall WLM
2) Delete everything under C:\Documents and Settings\USER\Application Data\Microsoft\MSN Messenger\YOUR ID\
3) Reinstall WLM
Im not sure if this is going to help you out, but you can try.
-edit-
Nope, i found the right way:
Download ConCon:
http://www.mess-france.com/telecharger-fichier-83.html
Follow instructions @
http://concon.awardspace.com/help/content.htm. Correct instructions are mentioned in
Reset Messenger Content (placed at the bottom of the page).
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