Windows Live Messenger Add-In API
Seeems to be a nice way to create an alert/query service interface. The API is incredibly easy to use. You can probably create your own Messenger Robot in minutes (a automated trade alert, for example).
BTW: There is really no SDK to install, as the required assembly comes with Windows Live Messenger itself.
- A simple guide on how to write Windows Live Messenger Add-Ins.
- In case you need some ideas on your next messenger agent, check this out.