Starting with MSN Messenger 7.0 (private!) build 0604, you can show your contacts on MSN Messenger what music you're listening LIVE using the "What I'm Listening To" option. This option will available TO ALL OF US when MSN Messenger 7 is officially released (in April 2005, probably).

Here's an overview how to enable or disable this feature with four different media players: 

A] Windows Media Player 9 and 10:

How to Enable:

1) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

2) Click Turn on "What I'm Listening To so it appears checked like in the screenshot below.

How to Disable:

1) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

2) Click Turn on "What I'm Listening To" so it appears UNchecked.

3) (Optional) Disable the plugin in your WMP settings.

If your music information doesn't appear when you play music on the Windows Media Player, check your Windows Media Player plug-ins to make sure that MSN Messenger Plugin is turned on. See Windows Media Player Help for more information.
 

B] iTunes 4.7:

How to Enable:

1) Disable the option "Minimize iTunes Window to System Tray".

2) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

3) Click Turn on "What I'm Listening To so it appears checked.

UPDATE (thanks to Timothy & Zero1):
When you minimize iTunes to your system tray, the track name is removed from the MSN Messenger Personal Message again. Here's an easy workaround:
1) Right-click your taskbar.
2) Choose Toolbars.
3) Enable iTunes.
The iTunes toolbar will not show up when you are using Minimize to System Tray option, but the track will stay visible in MSN Messenger!

How to Disable:

1) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

2) Click Turn on "What I'm Listening To so it appears UNchecked.

3) (Optional) Minimize iTunes to tray.
 

C] Winamp 5.x:

How to Enable:

1) Download and install the MSN Messenger Music plugin or alternatively unzip Toaster's gen_toaster.dll into your Winamp plugins directory (shut down Winamp completely before installation). If you own MSN Messenger 7.0.0632 you should download and install Toaster 0.7.2.

2) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

3) Click Turn on "What I'm Listening To so it appears checked.

How to Disable:

1) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

2) Click Turn on "What I'm Listening To" so it appears UNchecked.

3) (Optional) Uninstall the MSN Messenger Music plugin or Toaster.

D] Foobar2000:

How to Enable:

1) Download the Foobar Plugin (or this version if you have MSN Messenger 7.0.0632) and install it by pasting the DLL into your Foobar's Components folder.

2) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

3) Click Turn on "What I'm Listening To" so it appears checked.

How to Disable:

1) Select the little arrow pointing downwards, below your nickname and to the right of your Personal Message area.

2) Click Turn on "What I'm Listening To" so it appears UNchecked.

3) (Optional) Remove the foo_msn.dll plugin from the components folder.

Known bugs:
- Songs without ID3 tags can mock up when using Winamp.
- When minimizing iTunes to the tray it will disable your song status.