On instant messengers, there are usually a few privacy options you can use to prevent things like this from happening. You can block specific people and set it so only those on your list are allowed to contact you. MSN has a built in feature where the other person must be on your list by default and it asks you if you will allow them to add you. AIM provides you with a dialogue for accepting messages from names you've never chatted with before. In reality, if someone is "cyberbullying" you with those popular programs, it's because you accepted the messages before hand.
Hi Jessecat,Thanks for your comments. Unlike online predators which I think you are getting confused here - cyberbullying usually occurs with people that children know at school/home/playground. A child might think that they are their friend or was their friend at one time. Another feature in MSN software is the ability to log a child's conversations. This is useful in order to follow-up on the bullying and keep proof for legal purposes as well.