In a nutshell, it allows people to publish their presence and receive messages via the web from anonymous users without Messenger client installed via a control placed in the blog (or any website). The messages received are within the Messenger Client.
Could be interesting... I tried it but it was too wide (it needs at least 300x300px to overcome the captcha type input to prevent spam). So once I have time to update the graphic etc. I'll think about implementing it... or figure somewhere else to put it on the blog... maybe the header itself?
Visit http://settings.messenger.live.com/Applications/CreateHtml.aspx to create your own.