If I can remember correctly, they are stored as .dat files. You should be ableo to locate them by doing the following.
1) Sign out of messenger
2) Open My computer, click tools, folder options, view and uncheckthe boc hide extensions for known file types
3) Next go to c drive, documents and settings, your user name, application data, microsoft, msn messenger.
4) You will see a few folders named. Locate the folder associated with your MSN email id.
5) Double click on your folder and look for a folder named custom emotions. The extensions will end with .dat but you should be able to view these files in internet explorer.
6) Right click and save