Start by removing Windows Live Messenger from any startup entry in Windows (that is in the registry and in your startup folder).
After that clear your Internet Browser's 'Downloaded Programs' and 'Temporary Files' (for MSIE, see Tools > Options).
Then reboot.
Also see:
http://shoutbox.menthix.net/showthread.php?tid=68...d=752237#pid752237
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PS: what happens when you actually press 'install' in the installation wizard of Windows Live?