Yes, most of your documents will be compatible with Ubuntu 11.10.
Word, Excel will be readable with Libre Office (maybe the layout will be a little off) but it will work.
PDF, no problem
For your Audio you can install Banshee (default player i think) or Rhythmbox (you will need to install)
For your Video, I recommend VLC, very easy multimedia player to play all your videos.
As of messenger, you can use Pidgin (which you can setup your MSN account), there's another one by default but I don't like it. (Not sure about your log tho, maybe you can save them somewhere in your documents for reference).
If they are not installed by default, you can use the Ubuntu Software Center to install them.
Here's how to install Pidgin (example):
open the Ubuntu Software Center (if you use Unity it will be on the left of your screen)
Then search for Pidgin:
click on the link and install:
You can repeat these steps for the other softwares like VLC or Rhythmbox or any other software you want to install.