Q: How do I remove the ads from Windows Live Messenger?
A: Note that you might need admin-rights to do either of these solutions!

Alternative 1:
  1. Go to %windir%\system32\drivers\etc and open the file Hosts with eg Notepad.
  2. Enter the line " rad.msn.com" (w/o the "") and save the file.
  3. Restart Live Messenger, the ads should be gone.
Alternative 2: 

1. Close Windows Live Messenger (WLM) completely ("right-click tray icon and choose Exit).

2. Open Internet Explorer and goto menu Tools and Internet Options.

3. Click the Security tab, and add to Restricted Sites: rad.msn.com

4. Done. No more ads in the main window, just a white rectangle. Bliss. 8-)