Don't download from softonic.com, they are not an official site.
Are you trying to download Messenger Plus! or Windows Live Messenger? In your first post you said you already have Messenger (although it's an old version) and trying to download Messenger Plus!. But in your screenshot you are trying to download wlsetup-custom.exe, which would be Windows Live Messenger.
Either way, these are the official places to download both:
Download Messenger Plus! from msgpluslive.net (latest version is 4.83.380)
Download Windows Live Messenger from download.live.com (latest version is 2009)
Download what you need from there. If it doesn't work, clear your browser cache and try again.
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