As has been stated there is no easy way to unite your contact lists across multiple accounts. There are other avenues available such as some sort of general window tabbing software (don't ask me which to use - or if there are any such programs
) which would allow you to place all 3 of your contact lists in tabs for easy switching.
Alternatively you can try multiprotocol software such as Trillian which supports multiple accounts appearing in one contact list and also other Messenger protocols such as IRC, Yahoo, AIM(Pidgin may also support multiple accounts in one contact list and would probably be the better option if it does as it stays relatively up to date) - unfortunately this method results in a loss of many features which are a part of WLM, you will not be able to use MsgPlus or games/activites (and probably some other stuff which doesn't come to mind at this time).
If you only want to check emails however then refer to
djdannyp's post above.
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