I tryed it on my phone and I got a web site to visit:
http://get.live.com/messenger/mobile
quote:
If you accept a mobile contact and later want to block them:
Use your mobile device to send the following text message to your service number, listed below:
d username@companyname.com (where d; is for deny and username@companyname.com is the mobile contact you would like to block.)
Edit:
Important Messenger Service Numbers
Altell: 67606070000
Cingular: 67671000
Sprint Nextel: 52007000
T-Mobile: 456-000
Verizon: 676-81-300-0000
/ 
