Hi ZeroMaster,
Check your firewall settings like Asky suggests and make sure that Windows Live Messenger is on your firewall exceptions list. If you are using Windows Firewall, see this for how.
http://www.vistax64.com/tutorials/65334-windows-firewall.html
Also, take a look here to test if you have a TCP/IP Auto Tuning issue.
http://www.vistax64.com/tutorials/72308-auto-tuning-tcp-ip-receive-level.html
Hope this helps,
Shawn