I recently dled the WLM 12 after 09 stopped working but i cant figure out how to add a background picture to my conversation windows like i used to be able to do in 09 Msn. 
You can do it with messenger plus version 600.
There is a skin editor, in which you can create and modify your own skin for messanger.
You can also fully tweak your conversation window, but its a bit of a pain in the ass to get used too.
But assoon as you are used to it, then its basicly realy easy to create your own skins.