Schmidty, I am having the same issue as well. The problem is that indeed you are signed in a different place. Now you might ask "Where though?" If you go to Hotmail to check your mail, you will notice that, there is a built in web version of messenger in Hotmail. That's why when you sign into Hotmail, to check your email, Microsoft Messenger realizes that there is another location which you are logged into, and that is the web messenger. It's a problem due to Hotmail, having that built in web messenger, which means you can also chat from there. Not sure when this problem will be fixed though...
Macintosh: Mac Mini Intel Core 2 Duo 2.53ghz (Late 2009)
iOS Devices: iPod Touch 2nd Gen 32gb