The latest version of Messenger (i.e. Windows Live Messenger 2011) will only install on Windows 7.
Not to mention the "forced" upgrades to 2011: http://forums.whirlpool.net.au/archive/1624009
I've spent a couple hours on Google and there doesn't seem to be solution (other than staying with 2009 version).
Is there any way to "trick it" into installing on Windows XP?