I've just tried this out since I happen to be using Windows XP for the moment. Trying to sign Windows Live Messenger doesn't do anything if the Windows messenger is running.
I would take a look at the following site:
http://support.microsoft.com/kb/302089/en-us
After you've disabled Windows Messenger, re-install Windows Live Messenger, make sure you don't have any other Windows Live Messenger add-ons installed.
/ 
