Before you click the download button, you can choose your language:
http://download.live.com/?sku=messenger
You can't switch languages once it is installed (the applications aren't multi-lingual). If you want another language, you need to redownload and reinstall in the proper language.
Note that the language of the online webpages (like the Today page, the Help pages, etc) can depend on the language settings in your browser too.