I don't know that you can. How did they add you in the first place, without your OK? From what I remember with MSN, you get a message saying
JoeBlow@hotmail.com would like to add you to his contact list, is this OK? And you click yes or no.
Beyond blocking, which you've done, I'm not sure what else you can do. Maybe send an email to their helpdesk/support and see what they have to say.