MSN Italy has released an emoticon Xmas pack for Windows Live Messenger. They've bundled 10 animated emoticons of Santa and Rudolph into an easy auto-installer.
Click on Scarica Gratis Le Emoticon Natalizie to download the emoticon installer. Run the executable and click Avanti. Do remember to uncheck the 2 boxes if you don't want your default search & home page changed, during installation. Click Accetto to install.