I am not sure about the URL blocking issue as I have not attempted it with a PIX using a GPO. Good luck with it.
As for the messanger blocking take a look at the following for specific ports defined for each.
Messanger – Messages, TCP Port 5050
Messanger – Voice Chat, TCP 5000-5001, UDP 5000-5010
Messanger – Video (Webcams), TCP 5100
Note that MSN and Yahoo messangers may attempt other ports. MSN especially is difficult to stop using just port blocking. Give those above a try.