Hi - sounds like you have 2 problems -
1) Your friend has a virus which has hacked his / her contact list and, as someone above correctly posted - the links sent to you are almost certainly to either a virus or malware / spyware. Clicking on these links is most definately NOT advised. I once did, and it cost me a reload.
Close the chat window, advise your friend.
2) Assuming you are using Windows XP, you may still have "Windows messenger" installed. It comes with XP. This program lies almost dormant when "MSN Messenger" (or "Live Messenger" as its called in later versions) is in use.
Windows messenger can leave you visible to other MSN users (Windows or MSN), so even when you aren't signed in, you are.
Windows messenger is a tricky little b*gger to remove because its integrated into the system registry, but this link will remove it.
http://www.dougknox.com/xp/tips/xp_messenger_remove.htm P.S. I've just noticed that the clever chap that wrote the original removal program appears to have updated it. Its all automatic - just click on the link, download the file and run it.