Windows Messenger was originally going to be the replacement for MSN Messenger that came with Windows XP, the idea being MSN Messenger would become redundant and that only XP users would get updates for the chat program. If you search google you can find statements saying "no version of MSN Messenger will ever install on a Windows XP computer" [:P] I think MS changed its mind after some legal problems from AOL about tieing the product too closly into the OS which broke competition laws.
Now Windows Messenger is mainly still supported for corporate clients who adopted it at the time because it has plugin support, so it could be customised for individual businesses. Most users are encouraged to use MSN Messenger (which has come a long way since the last Windows Messenger release) and you can't even get a Windows Messenger update from
http://messenger.msn.com/ any more.