firstly, are you trying to install it on an operating system other than XP or 2000??? it should work with win98/ME (considering it IS a micro$oft product), but you cold have problems otherwise.
the other thing you could do is to try re-downloading, just in case you have a corrupted *.exe file.
you could also try to diagnose the problem yourself by entering "MSN Messenger", "install", and "error 1603" into google. believe it or not, you can usually find out if thats happened to other people and find out what to do to fix the problem.
hope that helps.
See the struggle of the faithless lot as they negate their time
How low to sink to the depths of their frame of mind