As reported by fellow MVP Sandi Hardmeier at Spyware Sucks (bookmark it), malware known as Winfixer or Errorsafe has been distributed via banner ads on MSN or Windows Live Messenger as it is now known. This has been reported to Microsoft who released the following statement.
"Microsoft was notified of malware that was being served through ads placed in Windows Live Messenger banners. As a result of this notification we immediately investigated the reports and removed the offending ads, as this is a violation of our ad serving policy. We can confirm that the ads are no longer being served by any Microsoft system. We apologize for the inconvenience and are reviewing our ad approval process to reduce the chance of an occurrence such as this happening again. To help customers protect their PCs from malware threats, Microsoft recommends customers follow our Protect your PC guidance at www.microsoft.com/protect." - Whitney Burk, Microsoft.
With internet advertising being the main source of revenue for a lot of sites these days, this sort of thing is becoming all to common. One of the best ways to protect yourself is to install a good hosts file which will block known bad sites.
Please make sure you read all of Sandi's report, as usual she has done a very thorough investigation and gives some sound advice about avoiding infection from rogue sites.