A few questions that might help us debug your problem.
- Has this webcam and mic EVER worked with Windows Live Messenger, or is this the first time you've tried it?
- Do you have any other IM accounts, like Yahoo! Messenger? Do the webcam and mic work on them?
- Have you tried just doing audio?
- Have you tried just doing the webcam (not a video call)?
- Have you tried a video call with several other people (possibly the problem is on the recipient's end)?