There is a way though.... You wont get the "exe" (there is no "exe" anymore*), but you can get the "msi"...
It involves checking the debug/install log of the Windows Live Installer, checking some stuff in it to get the correct name and searching the temporary downloaded msi install packages.
It's a lot work though (and I can't remember the location of the log anymore**).
I also whished there was a clean easy way without actually installing everything. Though cba to write something which does it automatically or detect automatically the msi downloaded.... Maybe someone else will?
* UPDATE: come to think of it, there must still be an exe around somewhere. I have the official en-us setup exe here (incl. icon, setup dialog, VeriSigned and all) but dunno anymore from where or how I got it....
UPDATE: wow, apparently I have all the MSI packages of 8.5.1302.1018 from all available languages. Dunno how I got them, but they are located in C:\Documents and Settings\<mywinaccount>\My Documents\Windows Live Messenger\ as a bootstrap stub package (=installer without the dialogs, containing the MSI as a resource).... So if you need a specific language, ask....
** EDIT: see my next post in this thread
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PS: here the Dutch version of 8.5.1302.1018 (msi package):
http://www.mediafire.com/?1xg1tjztjkx