First, make sure you have the latest version of MSN Messenger (7)
To add what songs are playing in Windows Media Player:
- Click Tools >> Options
- Ensure you are in the "Personal" section
- There will be a checkbox saying "Show song information from Windows Media Player...". Check this.
- Clear out any personal message you already have to show the track currently playing.
As for the coloured nicknames and borders - I've never seen it and I don't think it's possible without downloading an unofficial addon for MSN Messenger. Try looking around
http://www.mess.be/ . There might be some addons for what you want there.