To Change "Never give out your password or credit card number" in an instant message conversation. or maybe other messages: 

Press Start
Then Press Run...
Then Type Regedit
Then Press Enter
Now Go To HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\MessengerService\Policies
Click on Policies
Then at the Right side of Registry Editor window, Click the Mouse right button
Then Click New
Then Choose String value
Then ReName the New Value #1 to "IMWarning"
Then Click on "IMWarning" twice and type any message you want, Like example :(S) One God One World (*)  
Restart Messenger.