MSN BackUp; otherwise, if your archive contains files with .dat or .dt2 extentions, the answer, at least for users of Windows Live Messenger 8.1 and later is "You can only import them one at a time" at least just for the first time, then once you have all your favorite emoticons installed you can export them as a single MCO file with MSN BackUp, or if you prefer a backup containing viewable emoticon images, you can export them with the program EmoticonMadeEasy. But, anyway, that's the easy part; first you have to convert those .dat or .dt2 files into viewable image files, so you can actually select them and import them in Messenger.
As you may know, emoticons come as animated gif or png image files. Those .dat and .dt2 files are actually gif or png files with another extension. DT2 extension is used by MSN Messenger since version 8.1. So you need to correct the extensions, which you could do it manually by opening each file with a text editor and checking the first characters for the correct file type.
Thankfully, there's a faster way to do all that. Just download and install InfoRapid Search & Replace or some equivalent and search the folder where you put all the emoticons for files containing the sequence "png". Put the matched files apart; the rest are obviously gif files. Then select one of these two folders, shift+right-click and select "Open command window here". Now just use a command sequence like the following to rename the extension of all files within: ren *.dt2 *.gif.
Now, it's just browsing all those emoticons, taking the ones you like apart, may be renaming them appropriately, and once imported into Messenger, don't forget to use one of the programs mentioned above to back them up for easier reinstallation or sharing with friends.