If you would like to change the warning that appears at the top of each new message window that opens in windows messenger you may do this as follows.

Open Regedit (start menu, run and type 'regedit' press enter)

Navigate to the following location

HKEY_LOCAL_MACHINE\Software\Microsoft\Messenger Service\Policies

Locate the string value called 'IMWarning' and change its message to what ever you would like to appear at the top of each new conversation window.

Close regedit and open a new conversation and notice the new message! You do not have to reboot for this one to work.