Like he said... but with pics :)
[img:c06cdf987e]http://img33.imageshack.us/img33/4286/20090707112650.jpg[/img:c06cdf987e][img:c06cdf987e]http://img33.imageshack.us/img33/1201/20090707112809.jpg[/img:c06cdf987e]<br>[img:c06cdf987e]http://img9.imageshack.us/img9/456/20090707114116.jpg[/img:c06cdf987e][img:c06cdf987e]http://img33.imageshack.us/img33/4563/20090707112741.jpg[/img:c06cdf987e]
If you have your settings like the 1st 3 pics then the big reset button under the advanced tab might be worth a shot but I doubt it will fix the problem.

There's also this from MS that might work: http://support.microsoft.com/?kbid=885180
Firefox might be preferred but I think there's a possibility that if you fix IE it will fix MS Messenger too.  Not sure since I don't use either app much.

Another option maybe... create a new windows user account and see if the problem exists there.