Hmmmm, it works for me too, Tegiro. I just installed just the Windows Live Mail, uninstalled it, and then went back and just installed the Windows Live Mail + Messenger. Both downloads worked fine, so I'm wondering if there is something on your system that is conflicting with the download - and preventing it from working properly.
Another possible solution concerns the source of the download. Sometimes you get a better result from a download from a different provider. From whom are you downloading the software? And, can you get it elsewhere?