New Contacts Folder is Created When I Sign In

I am using windows vista. This computer has a C drive, on which the
operating system is installed, and D drive which is for any data I want to
save. When I created a user on the computer, the folders associated with the
user (Documents, Contacts, Pictures, etc.) were automatically created on the
C drive. I had to create alternative folders on the D drive and manually
change each shortcut to point to the folders on the D drive instead of the D
drive. This way I can save all my data to the D drive, where there is plenty
of room.

The problem: When I sign into Windows Live Messenger, it creates a Contacts
folder on the C drive. Now I have duplicate Contacts folders. I deleted it,
but it just comes back when I sign in again.