The exact error message would be helpful, but I'd start by checking the firewall to see if Windows Live Messenger is granted full access to the internet. The Windows Firewall is default, but if you purchased a new computer the manufacturer likely included a trial version of McAfee or Norton as well.
John
i got windows live messenger, and it won't conect, and it says something about the keyportys not being right or something when i press troubleshoot, so someone please help me.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic