Try doing it with windows messenger like Voldie said. I think you'll get the messages as soon as you unblock him though but blocking him on windows messenger
and then deleting him on Windows Live Messenger might help (then re-adding him afterwards).., I'm not sure though. I'll edit if I find a more convenient way to do this.
EDIT:
I found the answer. Block him on windows messenger then sign-in on WLM. Go to tools, options and then messages. There select the option that says "Show me a LINK to the messages I received while offline"
That'll do.
Here's a picture just in case:
I guess you can change it back after you've clicked the link to his offline message. (Or received the link)