I realize how old this thread is, but if people are still looking for it as I have, I might as well stop by and say what the solution is:
The problem is that you're probably using the 64-bit of the Windows Media Player which cannot use the 32-bit plugin from Windows Live Messenger which is why the two programs will not work together <_<
You can solve this program by making sure you are using the 32-bit version of WMP by starting it manually or double-checking your shortcuts. The correct address to the 32-bit version is "C:\Program Files(x86)\Windows Media Player\"
The difference between the two versions of "Program Files" is whether or not it has the (x86) or not. If it doesn't, then you're using 64-bit software.