seeing as know one has the answer I think I do now.
Find the folder like this
C:\Documents and Settings\**USER NAME**\Application Data\Microsoft\MSN Messenger\1640297621\CustomEmoticons
Not sure if the number folder is same but in the CustomEmoticons you should see DAT files, I have an image file viewer when I right click and the custom emoticons show up but they do open in the Windows built in image viewer.
I'm guessing I can simply copy and paste to another computer, will see if works when get to work.