Your getting confused.
MSN Web Messenger is an online version of MSN Messenger you do not need to download.
You can use
eMessenger instead of Yahoo! Messenger. You don't need to download it.
'Messenger Plus! Live' is going to be Messenger Plus! but for Windows Messenger Live, therefore it needs a new name so it doesn't get confusing.
P.S. Should of posted in the MSN/Windows Messenger section of the forum.
Edit: Whoops, took too long to reply.