Hi,
The ability to use Live Messenger on a BlackBerry device is dependent on your network carrier having support for this application. If your device has a service book for Messenger then it will work otherwise you will not be able to use this application. To confirm what service books you have go to "Options > Advanced Options > Service Book". As an alternative you can look at IM+ as this supports MSN / Windows Live Messenger, AOL/iChat, Yahoo, ICQ, Jabber and Google Talk. You can find more information on IM+
HERE.
Thanks,
Gary