Please read 2 posts further than the one you quoted, it contains the proper link...
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Or download the proper and complete (online) installer from
http://messenger.live.com/ to make sure you have all the needed components to install Messenger.
Because that is the most common reason why downloading and installing that contacts-ship-neutral.cab file works for so many people: they didn't used the proper installer from Microsoft to start with, but they downloaded the (offline/standalone) installer from somewhere else. And those installers didn't contain all the needed components. So moral: _always_ download from the official page:
http://messenger.live.com/
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