Click the Messenger menu and select "My Display Image."

Select "Share my picture" and click Select….

Click one of the built-in pictures, or click Browse to find one on your hard drive. The picture must be a .bmp, .jpeg, .png, or .gif.

When you’ve found it, click OK at the bottom of the window.

Change your picture anytime by repeating this process. Or you can also switch during a conversation right in the conversation window by right-clicking your image, then clicking Choose a Picture.