Getting some returns back from vendors, it is a Bropia variant.
Kaspersky - IM-Worm.Win32.Bropia.j
Trend Micro - WORM_BROPIA.S
Symantec - W32.Bropia.P
From Trend Micro -
QUOTE
Like the earlier BROPIA variants, this memory-resident worm spreads copies of itself via MSN messenger, a popular instant messaging application, using attractive file names.
It also drops a JPEG picture file in the folder where it executes. It opens the image with Internet Explorer (IE).
From Computer Associates -
QUOTE
FILE CONCLUSION
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msn.zip clean
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\msn\paris-hilton.pif confirmed malware
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pic.jpg clean
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exe.exe confirmed malware
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\msn\w00t!.pif confirmed malware
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pic.jpg clean
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exe.exe confirmed malware
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