Some time ago, Microsoft disabled clickable links within Windows Live Messenger 2009.  Since they were able to remotely disable this for all users, there must be an identifier within the program that governs this. The solution to getting links back on WLM 2009 is to use a hex editor to edit the exe file to allow hotlinks again.  More info in the link below. 

Link: http://www.generationmediagroup.com/blog/re-enable-links-in-messenger-09/