how exactly do these things happen?
Bots/Malware. You can easily create a bot and give it a list of mails (or make it grab those from your contacts list). Then the bot starts sending SPAM to those emails/contacts.
(You can also receive/send msgs from contacts that are not in your list)
Is there a way to know if we are affected by this issue?
If you're not using the official MSN cliente, chances to be "infected" are much lower. Or at least that's what I think. I haven't seen yet some malware able to make your amsn
send crap to your contacts. It's certainly possible! But I haven't seen one, yet.
Also, if you're using Linux/Mac, chances are even lower.
However, if you're on Windows and you're using the official MSN cliente, then you should get some antivirus + antispyware + antimalware coctail to prevent that kind of things happening.