Jeeky, if you are talking about MSN Messenger 6.0 and MSN Messenger 5.0, then you must first uninstall MSN Messenger 6.0 (from Start -> Control Panel -> Add/Remove Programs), then just download and install MSN Messenger 5.0 from
http://messenger.msn.com. The latest version in there is 5.0, since 6.0 is still Beta software.
Thanks to lucky7 for pointing this out (see 3 posts below)!