If you're on XP and you get the "new update available" in WLM 2009, it is NOT for updating to 2011*! It means you are not running the latest build version for WLM 2009.
Running Messenger in compatibly mode is not needed and not recommended. Just update to the latest build of the version you're running.
Indeed, I've been getting the update notification as well but only because I'm still running the *.8089.726 build. The latest WLM 2009 build being *.8117.416.
And I'm running XP btw, so it can't be WLM 2011 they're pushing on to me