I cant install any windows live messenger

Hello,

For some reason I cant install ANY windows live messenger. every time i download the thing to download it, it "skips" the Run, Save Cancel window and goes straight to my desktop,but when i click on it it says that its a "bad application" or "cant read from its location". And i have been trying and I've been getting the same response for DAYS........I need help...How do i fix this or make it work? I already have an account i just want to re-install a newer version of windows live messenger.