
I'm always telling my kids about downloading things, even pictures that are sent to them via msn.
Have you tried uninstalling msn, wiping it off altogether, ? don't know if it would work but I'd try that cos you can always install messenger again.
I have noticed though that when my eldest has been on msn chatting to what seems like hundreds all at once, I have to scandisk the pc because I have trouble signing in after he's been on it, and nothing works properly until I do so. No virus's have shown up and it works fine after. But he will be given an extra warning now about downloading pictures.
Sorry I can't be of help.