It's easy. Add Windows Live friends to your contact list by clicking the “Add a Contact” button (the “+” at the bottom of your Messenger window)—the same way you’ve always added friends to your contact list. In the Add window that opens, be sure to select "Windows Live" as the network.
To start IMing, your Windows Live friend must accept your invitation. Also, they must be using the latest version of Windows Live™ Messenger. If your IM sniffs out that they need to upgrade, your invitation will automatically include a link for them to download the latest Windows Live™ Messenger.
Once you’re both running the latest versions and you’re both on each other’s contact lists, it’s time to get down to business. Let the instant messaging begin!