Ebuddy offers an alternative way to use Windows Live Messenger with your mobile phone:
http://www.ebuddy.com/mobileinternet/
You can also use it with your PDA, Sony PSP or Nintendo DS.
The standard way is to sign up you in
http://mobile.live.com/signup/Signup2.aspx, the official service powered by MSN. The difference is in the connection. Whit eBuddy you message with the WAP protocol, with MSN messages are SMS.