WLM security issue ?

Hello all,

Does somebody have an idea about what I see with WLM :

WLM is launched automatically to the opening of session and in mode "off
line" (I don't change this status). Then, using NetStat or TCPView, I note
that connections "were established" between my WLM and a user identified by
an address of the "X.X.X..X.abo-wnadoo.fr" or "X.X.X.X.adsl.proxad.net"
type, etc... in short an unspecified user on the Net...!!!

My conclusion : my IP does not remain confidential through WLM.
My question : what are the potential risks ?

Thanks for your opinions.

Cordially,
Gilles

Config : Windows Live Messenger 8.1 + WinXP Home SP2 + McAfee F/W