The Messenger team has released build 6.2.0205. If you are running MSN Messenger 6.1 or 6.2 I strongly urge you to upgrade. You can start the install here.
6.2.0205 includes fixes for the security vulnerabilities discussed in MS05-009.
MSN Messenger 7.0 is not vulnerable. If you are using Messenger 7, you’re fine and dont’ need to take any action (besides turning on anti-virus scanning).
You can download the Messenger 7 beta from here.
The question was raised in the comments "if I have applied all the Windows security updates do I still need to update my version of MSN Messenger".
That’s a great question and the answer is yes. If you are running 6.2 or 6.2 you should either upgrade to the beta, or upgrade to 6.2.0205.