you can use Print screen and open an image editor -> edit the smiley, and then export it at 96x96 pixels, at least that's what i do
Edit: the only problem is with the animated ones
.
And the emoticons are placed in some folder like
"C:\Documents and Settings\Administrator\Application Data\Microsoft\MSN Messenger" then select your Account ID
some of them are hidden, so watch out.
those are your emoticons, but, i dont know how to change that kind of extention like:
DAT to >>
gif or jpg, or png sorry