Visit the MI6 Display Picture galleries

Right-click the image you wish to save.

Select "Save Picture As.." from the pop-up menu

Save the picture to a location on your computer

Open the MSN Messenger main window

Click the Tools menu

Select the "Change Display Picture" menu option

A "My Display Picture" window will pop up.

Click the "Browse..." button

Navigate to the location where you have saved the picture/s.

Click "Open" to select the file.

In an MSN Chat window, simply click the drop down arrow on your display picture to to show menu options for swapping your pictures.