Its an feature of Windows Live Messenger.
It enables you to add a Web based messenger to your Site Blog or any Share Point Site.

To create this yourself visit :
http://settings.messenger.live.com/applications/websettings.aspx

Steps for how to integrate it?

(1) Go to the site :http://settings.messenger.live.com/applications/WebSettings.aspx

(2) you will see a setting for “Manage your Messenger web settings”

The check box ” Allow anyone on the web to see my presence and send me messages.”
It will allow any one to message you from any chat gadget.

Now Click on “Create HTML” link which is at left side of the page.
OR
You can directly get the HTML code from this link :
http://settings.messenger.live.com/applications/CreateHtml.aspx

At the bottom you will find these instructions.
” Copy the HTML and paste it into your webpage”

Now to make available this Gadget in your site , Open your sharepoint page in browser.
Drag and Place a ContentEditorWebPart there.
In it’s Source Editor, Past the HTML Code that you have copied.

Done!!!
Now any one can chat with you by using this.
You have to make login in MSN Messenger.