What I think would be handy is to have your contacts names (or at least some favorites) listed in the menu that opens when you right-click on the tray icon.
When you select the name of a contact it would open the message window for that contact.
This would save opening opening the main contacts window and then finding the contacts, making it easier to start a conversation with those you frequently talk to.
It would also reduce the clutter on the taskbar as you can completely close the chat windows, yet easily access them again when needed.
Well, I don't know if this is possible - modifying Windows Messenger, but it sure would be handy.