Notes about Windows Messenger:
Windows Messenger 4.7.3000 is the latest Windows Messenger 4.x (it comes with SP2 for Windows XP, but it lacks some things from 4.7.2009).
There is also an Windows Messenger 5.0.0482. But this is actually a different kind of Messenger:
With Windows Messenger 4.7.2009 you can install the offical 4.x Addon to get some functions which aren't in 5.x like Hotmail support, MSN Profiles, Mobiles... 4.7.3000 doesn't support this official addon anymore...
4.x comes with Windows XP and can't be uninstalled in a conventional way. It only works on Windows XP.
On the other hand, Windows Messenger 5.x has some features which aren't in 4.x, like SIP Service, MS Exchange 2000 Service, "Ink" TabletPC support.... 5.x can be installed instead of version 4.x on Windows XP, Windows 2000 and Windows Server 2003.
4.x is more for the home-user, while 5.x is more for companies and businesses...
Both versions are available in other languages as well.
So, there are now 5 different Messengers made by MS with all different options and features!:
related:
Differences between Windows Messenger and MSN Messenger
important note:
If you want to run both Windows Messenger and MSN Messenger at the same time (all together with Plus!), you need to start Windows Messenger before MSN Messenger.
EDIT: updated list with links can be found
here