No. Because WLM is still in beta and still changes a lot, not many addons have been written yet which are compatible with WLM.
Even so, not many addons existed for previous Messenger versions (7.5 and below) which were able to do what you want.
The only one I can recall which does what you want is
Audiator a plugin for Messenger Plus, not a standalone application/addon.
Though even that plugin has not been updated since Messenger Plus! featured custom sounds some time ago.
Then there is some addon for Messenger 7.5 called "Sound Clip v1.6.0.0". I don't know what it exactly does or doesn't. Neither do I know if the addon has bugs, can do damage, etc. So use at your own risk.
I don't know any other program or addon which does what you want for WLM, with or without Messenger Plus!.
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All this said, WLM has already a build in feature named "voice clips" which could do what you want.
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