How to install windows live messenger on windows server 2003 64 bit enterprise edition?
This TechSpot article explains how it can be done. 8.1 is the only version officially still supported to work on Windows XP and Server 2003 64Bit if installed this way.
You effectively need to download the messenger.msi installer by itself. The Live Installer doesn't natively support Windows XP and Server 2003 64Bit and I doubt support will be built in with the launch of Windows 7 and Server R2.
This Digital Life article explains how to get the standalone installer of the latest version of a machine that already has Live Messenger installed.