Windows Update doesn't work in IE, as far as I know, and MS has no reason to make it work in rival browsers either

As for MSN Messenger, well it's by MS again, so I wouldn't be surprised if the same applied

I just copy/pasted links when I used to use MSN, though I've ditched that in favour of Gaim, which can also use the MSN network
As for Firefox letting in infections, how do you know it's not because of infections already on the computer (because of IE), and they're using Firefox because you set that as the default browser? You should really do a spyware scan if you know you're infected