In the latest version of Windows Live Messenger they removed this feature. You can only do video calling, and no more one way calling.
They did this to prepare for WLM2011 that only allows video calling.
There is however a way to bypass this. You can downgrade messenger. This is not recommended, and there might be unfix bugs or problems (usually not).
How to downgrade:
Start > (In XP, click Run) > Type in the following & press enter:
msiexec /x {B57EAFF2-D6EE-4C6C-9175-ED9F17BFC1BC}
Follow instructions to uninstall WLM.
Then download and install this version:
http://messenger.jonathankay.com/redir/w3qfe2/wlm.asp
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Like you, I didn't like this decision so please contact Windows Live Feedback and tell them what you think. Good Luck.
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