I can not find 'Private Messages' in my WLM, This not much different to your
'Some articles online' (i did this post before checking linked articles, this does work-at least for me)
You can change the settings this way.
Start Messenger → click on Tools → options → Privacy → Settings, Edit settings
→ Privacy → Passing' Limited', 'My current settings', etc to the bottom of the page.
At the ' Save' click on Advanced, this will take you to another page. The path at top of page is :-
Your path is Home->Options → Privacy → Advanced.
Under Profile and Search are a set of options with sliding scales.
Move all option slides as far as you can to the left. Or as far as you wish.
You may wish to select 'Private'
At the bottom there is an option
“ Who can contact me ” it can be set so you can select
who can contact you from “Public” to “no one can contact” .
Click save and that should set it up as you want.
You should also clear your cache (this link shows how to for IE, with links depending on your system version)
How to clear cache 2011 version
After that you can contact MS
Sign in and click on help -> report abuse
Hope this helps.