With MSN Messenger 7 you can easily steal the custom emoticons your contacts are using without the need of external tools. Here are the instructions:

1) Get your contact to message you a custom emoticon you would like to use yourself.

2) Select (or highlight) his or her emoticon in the conversation window.

3) Right-click the selected emoticon and select the "Add..." (or "Get this emoticon") item in the menu.

4) Fill in the appropriate fields and click "OK".

5) Now go ahead and try out your brand new ("stolen") emoticon!

Thanks to Josh and Huuf for reporting.