It is custom that you can change your name on instant messaging services — many of these go by nickname, so if you change your nickname, as I have done on multiple occasions, it would be fair to be able to do that, on the IM.
But there is an annoying tendency on the MSN Messenger service, at least among Danish teens, to change your name to something non-identifying, such as a quote, a news story or something similar. Remember, folks, these are names. I can live with the fact that you suffix your name with something; I do this myself. (And as we all know, I can’t do anything wrong.) But your entire name? I mean, should I be able to remember you, solely by your email?