I recently had the same problem, but was able to figure it out by looking around long enough.
Another problem I still can't solve is how to change my nickname, or alias for MSN and ICQ. I can change it in the same place I change my buddy icon, but only I can see the change. For example, I can set my name on my Windows version of MSN, but when I try to change it on gaim, all my contacts say it hasn't changed.
Is there something I'm missing? Thanks in advance for any help.