Windows Live Messenger is just a new version of MSN Messenger, with a new name. So from now on, all new versions of MSN Messenger are going to be called Windows Live Messenger.
Lots of things have this new 'Windows Live' name tag.
There's a new version of Hotmail, called Windows Live Mail, which is very different.
You can see a list of 'Windows Live' products (all free) on
http://ideas.live.com/
Hope that makes it a bit easier for you to understand. If not, I'll try and put it another way. Just ask if you don't understand