I've had a crap load of these types of messages from friends lately with links in to websites , most likely to spyware or even trojans do I click on them hell no !!
I kept getting one from sexrox and advised her, thing is in her msn chat window and history she couldn't see the links / message sent to myself unless I cut and pasted it back to her .
I suspect malware etc, although your case sounds slightly diff .