Yeah, I misread a part of your post. I didn't notice you said Windows Live _Mail_.
But I dunno if using the full offline installer of Windows Live Messenger 2009 will work though. Many components of all the Windows Live programs are shared. As such, chances are very high the full installer of Windows Live Messenger will simply refuse too.
What might work is uninstalling everything, then install Windows Live Messenger 2009 first, and after that use the installer of the Windows Live Essentials 2011 to only install Windows Live Mail 2011.
Installing two different versions of programs (that is, tools which shared quite a lot of components in this case) has never been successfull if you install the new version first. You always need to install an older version first, otherwise you end up overwriting a new version of a component with an old one, which will result in all kinds of unexpected behaviour (bugs/crashes/etc).
I dunno where you can download the full offline installer of Messenger 2009 from an official site (they exist, but I don't have the URLs at hand). But I know Menthix has the full installers stored online though. Also check out the link to Trekkie's blog if you want just Messenger:
Menthix's reply to Windows Live Messenger 14.0.8089.726 released today
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