There's an SDK that lets developers build "activities" and games for use in Windows Live Messenger. The basic approach is to build a web app, that gets approved and hosted by Microsoft.
questions
EDIT: I tried using jQuery, but couldn't get it to do much of anything. I also couldn't debug it at all, when running within the IM client. The IE8 F12 debug tools are not available in that context. I believe the embedded browser was silently not loading external script, and then silently throwing exceptions. So I backed off to use only script in the .HTM file. Since it is Windows Live Messenger, the embedded browser is IE, so the generality made possible in jQuery isn't strictly necessary. I was able to use old-skool DHTML interfaces to get done, what I needed.
I'm still interested in seeing examples of what other people have produced in the way of WLM Activities or games, using the Messenger Activity SDK. I think Flash is possible, and I think XAML is also possible, but I haven't seen source code examples for any of those.
I think the answer is NO, but I don't know why.
It could be that, in the Messenger sandbox, there is an even more restrictive policy in place. In other words, the Messenger activity cannot even download script or styles from a server that is not the same origin.
I didn't bother to test that hypothesis. I just developed using regular old DHTML, and it worked fine.