Had the same problem a few months ago.
Some solutions you can follow:
- Download the latest WLM version availible at
Get.Live.com
- Check for updates for Windows
- Go to "C:\Program Files\Windows Live" and remove "Messenger" folder (note: replace "C" with your root drive letter)
- Go to "C
rogramData" (note: replace "C" with your root drive letter) and delete both Windows Live Installer and WLInstaller if you have any
- Restart PC
- Run the installer
If you are still unable to get Messenger work, we recommend you to download a registry cleaner to fix your errors and speed up your computer.
Taken from:
http://msn-errors.blogspot.com/2007/06/cant-install-windows-live-messenger.html