Microsoft has temporarily disabled active links for Windows Live Messenger 2009, in order to prevent users from malicious worm (a self-replicating computer virus). The worm spreads by inserting a link into an IM conversation with a person whose computer is already infected. When someone clicks the link, it opens in a browser, downloads the worm on the recipient's computer, and then repeats this process.
Because links are active links blocked in Messenger 2009, starting today, some customers may also see a following notification in the main Messenger window warning them that some features mightn't be available.
This's a fairly common way for infections to spread, and on a network as big as Live Messenger such worms can spread in a big hurry. Shutting down active links -- where URLs are automatically turned into clickable links in chat windows -- is a good first step, and will keep WLM 2009 users safe while Microsoft works on a permanent fix.
If you're running Live Messenger 2009, this might be a good time to consider upgrading to latest 2011 version.