I use Windows Live Messenger with out any problems.  Explain better by what you mean 'don't work'.  Does it not open up?  Is it not being skinned?

Open up WindowBlinds configuration copy and paste the System Info here.

There's no real reason why WB should interfere with the normal functioning of Messenger, but you may have specific plugins or addons that might be causing some kind of conflict.

Try excluding Messenger from being skinned by WindowBlinds

1. double-click on the WB icon in the systray
2. click the Settings tab
3. then click Change the look of an app
4. then Add per application setting
5. locate and select the Live Messenger application
6. tick Ignore this application and do not skin it
7. click OK, then Apply Changes

See how you go with that.