Like any other software Windows Live Messenger occasionally suffers from little problems, often related to an individual PC configuration - which makes it pretty hard for the team to test everything.
Trying to solve a problem with WLM on one of the machines at home last night I came across this site which consolidates a whole lot of fixes to common problems in one place - and if you're having an issue that's not listed they offer to research it for you.
I'm not sure where they get their information from, but MSN-Errors do a good job of fixing the problems.
The other place to go for information and help is the official WLM Newgroup where experts from around the world can often help out pretty quickly as well.