hmmm... unfortunately, live is some of the most frustrating software i've come accross. in the IT dept at work, one of our PC's wont install it at all and mine wont let me click the envelope to check my mail. between me, 2 other devs and the systems admin, none of us have got it sorted! some serious gremilins in there!!
having said that, i would try uninstalling all the live software, reinstalling/reparing the .net 3.5 runtime and checking that your network device drivers are up to date (if the pc is new and they were installed from a disk that came with it, then they're probably out of date).
once you've done that, try installing messenger again. it's tedious, but might solve your problem