Here’s how:

Click the display image (or blank box) next to your ID at the top of your Messenger window and click My Display Image.

In the middle of the window that opens, click Use an Image, and then click Browse to find the one you want. When you’ve got it, click Open. Done!

Got an online photo? If so, you can insert the web address (http://...) in the “File name:” field of the dialog window. Then click Open.