I use classic Windows Messenger. The latest Windows Live Messenger (version 2008) is way too fancy for me. Compare:
I don’t like anything moving on the screen and I don’t like screen space to be wasted.
The only problem with classic Windows Messenger 5.1 (you can download it here) is that links are non-clickable. They are blue, when you type them (http://www.google.com) but they become black in the main chat window:
To fix this problem, open regedit and create HKLM\Software\Policies\Microsoft\Messenger\Client key (it might be already there). Create DWORD value EnableURL under that key. Set it to 1. Restart Windows Messenger.