Your contact will only be notified that you are typing a message if you enter an alphanumerical character (A-Z, 0-9), symbol ($, %, etc), backspace, a hard enter (shift+return/enter) and we've seen it happen once while pressing the Home key extensively. Nothing will show when you press shift, ALT-tab, arrow keys, delete key, return, enter, etc. Nor when you press special commands on certain advanced keyboard types like Play, Stop, Home, Email, etc. Also, clicking in the text area which gets the text prompt blinking does not alert your contact, nor does selecting an emoticon from the shortcut list of emoticons.
If you're concerned with exposing yourself to your contact, note that you can disable the "User is typing a message..." alert from appearing on the other side by applying flur's Nega Patch. Go here and search for nega and choose the appropriate patch for your MSN Messenger version.
[Thanks for testing with me Huuf!]