"Communicating by using an instant messaging (IM) program has some of the same security and privacy risks as e-mail, but there are a few dangers that are unique to IM.Continue reading : 10 tips for safe instant messaging
1. Never open pictures, download files, or click links in messages from people you don't know. If they come from someone you do know, confirm with the sender that the message (and its attachments) is trustworthy. If it's not, close the instant message.
2. Be careful when you create a screen name. Each IM program asks you to create a screen name, which is similar to an e-mail address. Your screen name should not provide or allude to personal information. For example, use a nickname such as FootballFan instead of BaltimoreJenny..."
via Microsoft Online Safety