lol, welcome emzy!
Have you checked MSN's website for a mobile version? It appears that when logged into Windows Live mobile, there is MSN messenger functionality built-in...
http://www.windowsliveformobile.com/en-us/windowsphone/default.aspx is the website to get the latest Windows Live for your phone. Try it out and let us know. Unfortunately our phones don't come preloaded with IM software like other phones do. So AIM, and MSN have to be downloaded and installed manually. Ironically there is NO standalone Yahoo IM app that can be downloaded, you must use a mobile web version... =/ Kinda defeats the purpose IMO... There's also programs like Palringo which integrate several IM program interfaces into one single program, so you can access your AIM, Yahoo, MSN, Facebook and even Myspace IM lists in one place. Worth a try if IM is a must have. Good luck!