Does the media player shortcut open anything? Like Windows Media Player?
If it doesnt then you most likely havent installed the software required for you to use those extra buttons. If it does open something like WMP but you want it to open iTunes instead you can change what it opens using the keyboard software. Look in your start menu or taskbar (next to the clock) for something that says "Microsoft Keyboard and Mouse" or "Logitec > Keyboard and Mouse" assuming you have a MS or Logi keyboard and open the application (you may have to choose "configure" or something).
In here it will allow you to assign programs to buttons.
As for the voice clip, does MSN open the Audio and Video setup or nothing at all? Also it might be worth checking to see if you havent got anything assigned to F2 in Messenger Plus such as quick texts. If it is you should disable or change the key for that quicktext.