Select a picture you'd like to use as an icon. Keep in mind that icons are 96 by 96 pixels; if you want to use a bigger picture, resize it or cut a square from a picture.
Open Microsoft Paint and make a new image that matches the dimensions of the MSN icon, 96 by 96 pixels. Copy and paste the full image if you want to use an entire picture or use Paint to open your existing image and crop the part of the picture you want to use. Paste the image into the blank Paint screen and grab and drag the picture's border to shrink the image until it fits within the 96 by 96 box. Add any additional text or coloring you want in your icon, then save it as a JPEG file.
Open MSN messenger, go to the "Options" menu and select "Tools." Click "Change picture" to open a new window with the uploaded and default pictures listed. Click the "Browse" button and locate the picture you just created; hit "OK" and MSN Messenger will upload the picture to your Messenger and automatically set the new picture for your display icon.