Please don't think that we don't care about you guys. This site is available for your concerns.
For me to help you on determining the cause of this issue, can you ask your friend to send you a copy of the e-mail that he/she received from you with its full headers exposed? If you can and once received, post those information here for me to check them out.
For your messenger concerns, you have to contact the Windows Live Messenger Technical Support Team. Refer to our Solution article below for their help link:
http://windowslivehelp.com/solutions/newvisitor/archive/2009/02/04/how-to-get-support-for-your-non-hotmail-products.aspx
To contact their team, follow these steps:
1. From their Help page, click the version of Windows Live Messenger that you're using.
2. Select one of the help topics displayed under the search box.
3. Click Get more help at the lower-right corner of the window then click Get support.
4. Complete the e-form and then click Submit.
Note: I've moved your post to the Mail Delivery forum because this is the appropriate one for it.