Whether it's for Windows Live Messenger or Plus! Live, technically speaking this is possible to do. If you have enabled a certain option to saying that you allow others to download your current font from your computer, your contacts could send a request which you automatically respond to with a file transfer of your font. After the file is received, their client could then copy it to the Windows Fonts folder.
The problem I see is that not all fonts are free. If you happen to install a paid font and use that in Messenger, it could be illegal for you to share it with others.
Also, in order to install a font on Vista or higher, you need administrator rights since those files have to be copied to "%Windows%\Fonts" which is a system folder by default. Therefore, the process of quickly retrieving a font before you chat could turn out annoying with those UAC prompts popping up all of a sudden.
Besides, I'd rather not have all those crazy fonts my contacts are using - some are just illegible. I don't want my Fonts folder to be filled with those useless dingbat fonts.
/ 
