Microsoft disables active links in Messenger 09 to halt spread of worm
This is a fairly common way for infections to spread, and on a network as big as Live Messenger such worms can spread in a big hurry. Shutting down active links -- where URLs are automatically turned into clickable links in chat windows -- is a good first step, and will keep WLM 2009 users safe while Microsoft works on a permanent fix.
Not sure if you're running Live Messenger 2009? If you see the message box above on your main window, you probably are. The missing feature the message refers to is the disabled link support.
If you're running Live Messenger 2009, this might be a good time to consider upgrading to the 2011 version. WLM 2011 isn't affected by this particular worm thanks to its built-in Link Safety defenses. You can download the new version from Microsoft here as part of Windows Live Essentials 2011.