Windows live messenger can't be found!

I downloaded windows live messenger 2009 but all i can get through to is the windows live Mail, at the top of windows live mail it says my email [example999@hotmail.com] i clicked on that and it said on one of the choices "sign in to Messenger" but everytime i click on that nothing happens... and on my files it even said that i downloaded messenger but i can't find the actual file anywhere on my computer. Please help me with this.