Shoutbox

There is nothing you can do about it besides using common sense (and keep your AV definitions up to date, but that will not protect against new virusses). Seriously, do you want the same thing as with the .pif, MSNM blocking it? Blocking all urls? Because that would be the only thing to prevent these messages.

Most important rule to prevent getting infected:
If the first thing sent in a message is a link, do not click it! Virusses/worms always send messages to all contacts on sign in.

Second thing that will stop it beeing spred is:
Warn the person you got that message from and if you can provide instructions on how to get rid of it. That person can then get rid of it and send your intructions to the contact he/she got it from.