Virus through msn!?!?!?

So far there are no known viruses in the wild for Mac OS X. There are trojan horses which are proof of concepts under controlled conditions. Out of the box the chances of being able to infect Mac OS X itself are practically nil. If you are seeing some strange symptoms with your Mac of any sort they are more likely due to bad directory, corrupt preferences or cache, incompatible drivers, or hardware issues. For one thing .exe files can't run on Mac OS X.
So unless you are running Office 2004 with Macros, (Office 2008 doesn't have Macros, or some Windows virtualization/emulation engine, I wouldn't be too concerned about infecting your Mac. Your Mac has a greater chance of becoming a typhoid Mary than being infected itself.

There are no known viruses which can affect OS X. There are few Trojans to look out for, but that's it. Any virus you get will only affect Windows. So unless you're running Windows on you Mac in some way, there's nothing to worry about.

ClamXav is probably the best. As far as a virus attached to a JPEG that's very unlikely. Don't enter in any passwords you want to be secure unless your web browser indicates that it is in a 128 bit encryption mode through its lock key in one way or another. That will avoid anything gathering your password. Make sure your passwords can't be found in any dictionary.

Exactly.

The only truly "safe machine" is one that is never turned on and doesn't have data.

It really is a question of risk avoidance. Are you using a system where you are constantly hit by possible viruses and spyware, or are you using a system that prevents most of those types of attacks by design? Mac OS X prevents a lot of them by design. Apple menu -> System Preferences -> Sharing lets you turn on a built-in Firewall. Most internet routers add an additional Firewall. WPA2 wireless encryption does that too. As long as you are aware of the source of any risky files, you are better off than those who are not. Before accepting any files that are sent to you, ask their source. An unprotected Windows PC is less likely to be able to infect a Mac OS X system than a Mac OS X an unprotected Windows PC. Windows PCs are more likely able to infect other Windows PCs. P2P sharing software which opens up your machine as an internet server can make you the first point of contact for any possible viruses or spyware over one that never opens itself up.

As far as knowing whether anything not good was attached to a pic, ClamXav will tell you.

You are more likely to encounter bad files in the format of Applescripts, Microsoft Office Macros which only impact Office, and true Application packages. Get software only from known good sources such as those on http://www.versiontracker.com/ and http://www.macupdate.com/

Ask others on boards whether they have tried certain software if there is any doubt first.