1) A full installer will tell you the exact same thing: uninstall the newer version first.
You can not install an older version over a newer version, what kind of installer you have doesn't matter.
2) Uninstalling Messenger will not remove you contacts. Contacts are stored on the Windows Live servers. Messenger always 'downloads' (syncronizes) with your online contacts.
Also note that you can check your contacts even if you don't have Messenger installed: Go to your
Windows Live profile and click on the '
Contacts' link. Or navigate directly to
http://mail.live.com/?rru=contacts.
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Thus:
1) first uninstall WLM2011
2) second, download the WLM2009 (online) installer from the official webpage:
http://explore.live.com/windows-live-Messenger-XP and run it
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