If you just try and install it normally from the Microsoft Live website, the installer Bork's and tells you that its not for Server 2003.
Its just that the installer does not work under the 2003, not Messenger itself.
The solution is to.
- Hunt down version 8.0.XXX.
- Install it.
- Let it upgrade itself.
- Joy!
I installed Windows Live Messenger 8.0.0787 and it worked fine on Server 2003 R2