This seems like it has great potential, but it's rendered useless by the fact that when the "question" fails to be delivered to the spammer, I still get a conversation window with an error. It's no different from getting the actual spam. It seems that spambots now simply ignore any message you send them, returning you an error instead. Smart, hm?
It's possible that this happens only on MSN.
Here's a blog post with about 10 people experiencing the same problem: