Click the Address Book button at the top of the Messenger window. It has an icon on it that looks like an Address-book card. See it? You can also click the Contacts menu and select Show Address Book.

Use the scroll bar to browse your entire address book.

You can find a specific contact quickly by typing any part of their name, nickname or phone number in the box at the top of your Messenger list, then clicking the match from the list that appears below.