1. For steps on how to enable Windows Live Messenger through the most common firewall refer here. If the list does not include all the firewalls you may have on your machine, please follow the steps below.
2. Open the options on your firewall settings where you add/modify list of programs that are allowed to access the Internet through your firewall application.
3. Remove all entries for MSN Messenger and Windows Live Messenger.
4. To allow Windows Live Messenger through your firewall application follow these steps:
4.a. Open Windows Explorer.
4.b. If you are using Windows Live Messenger 8.1 or 8.0 , browse for Windows Live Messenger by going to C:\Program Files\MSN Messenger. If you are using Windows Live Messenger 8.5 and later, browse for Windows Live Messenger by going to C:\Program Files\Windows Live\Messenger
4.c. Select msnmsgr.exe and add it to the list of applciations allowed to access the Internet through your firewall application.