Are you missing your custom emoticons when you switch machines or if you format your machine ? At one time I had a nice collection of these emoticons... Stuff that was collected from others. Its just the same old thing, if you like it, you save it ;-) Now obviously since they are not stored on the server, they do not travel with you if you switch machines or are not going to come back if you format your machine.
So here's a simple solution that I bumped into long back. MSN Messenger 7.0 and above (I am currently using 8.0 Beta) store their custom emoticons under the logged in users profile. In that there are separate folders per MSN Account that you use, organized by what I believe is the numeric MSN ID.[C:\Documents and Settings\Your Login Name