This is nothing. I've seen malicious adverts in Minesweeper that were clever enough to open tabs in my browser. Why Microsoft thought Minesweeper needed ads in the first place I don't know. Frankly every change they've made to Minesweeper since Windows XP has been negative.
This is also not the first time a Microsoft-owned chat client has has a problem with its adverts. In ~2008 there was a string of advertisements in MSN Messenger that used a ridiculous amount of CPU, though I suspect incompetence, rather than malice, was to blame for that incident.