• Navigation keys (arrows, pgup, pgdn, home, end): used to navigate in the contact list. Also, left and right arrow keys are used to expand/collapse groups when a group name is selected.
  
• Enter:
  • launch a conversation window if the selected contact is online or mobile.
  • opens a compose email page at Hotmail if the selected contact if offline.
  • expand/collapse group when selected.
    
• Alt+Enter:
  • displays the Contact Card if it's not displayed already.
  • switches the focus between Contact Card window and contacts list window if the Contact Card is visible.
    
• Esc: closes the Contact Card.
  
• Delete:
  • shows the delete and/or block a contact dialog.
  • deletes a group if the contacts are sorted by groups. The built in groups (Coworkers, Family, Friends and Other Contacts) will be automatically recreated if they are deleted. When the contacts are sorted by Online / Offline Status the build in groups (Online, Offline, Mobile) can't be deleted.
    
• Type-down: selects a contact or a group when the focus is in the contacts list.
  
  Example: press "a" - the first contact that starts with "a" is selected. Press "a" again - the next contact that starts with "a" is selected. Press "j" and then "o" with the time between key pressed less than 2 sec - the first contact that starts with "jo" gets selected (i.e. "john"). Is the pause is greater than 2 sec then the first contact that starts with "o" gets selected.
  
• F2: rename a group (built-in groups like Online/Offline/Mobile can't be renamed).
  
• TAB: moves the focus between active UI elements (like buttons, links, ...).
  
• Shift+TAB: like TAB but in reverse order.
  
• Ctrl+TAB: switches left-panel Tabs.
  
• Ctrl+Shift+TAB: like Ctrl+TAB but in reverse order.
  
• Alt+M: selects "E-mail".
  
• Alt+Y: selects "MSN Today".
  
• Alt+O: selects "Add a Contact".
  
• F1: launches the Help window.
  
• Shift+F10 or the context menu key: shows the context menu for the selected UI element.
  
• F10 or Alt: selects the main menu. If the the window is in frameless mode then it shows the standard window frame and the menu.
  
• Alt+F, Alt+C, Alt+A, Alt+T, Alt+H: opens the corresponding menu popup from the main menu.
  
• Alt+Space: shows the system window menu.
  
• Alt+F4: closes the window.

Another interesting shortcut is Win+B which is a standard Windows XP shortcut. It moves the focus to the tray icon area and selects the first icon. For example, if your MSN Messenger tray icon is on the second position, pressing Win+B, right arrow, Enter will open the contacts window.

[Big thanks to D. Feies]