Could be a number of things.... but try this.
If the the name of the .dll is given (XXX.dll), type it into a search engine and try to dowmload it. If you find it, save it to your "C:\windows\system32" folder. (Choose to replace if it is already there.) You may need to do this in safe mode. (Get to safe mode by pressing F5 key before windows starts loading at boot time.) After you've copied the DLL into your system32 folder, right click it and choose "open with". It will list several programs to open it with, but choose to browse for a different one. The program you will use is called "Regsvr32.exe" and it is found under your system32 folder. This will register the module with windows. Now try to open Messenger.
If this does not work, try this...
You mentioned that it isn't listed in Task Manager, but try browsing through the "Processes" tab (next to "Applications" tab). Look an item named either "messenger" or "msmsgs". If found, select it, right click it, and choose "End process tree". Once ended, try again to install it and then hopefully it will work!
If not, email me @ cjmclellen@Yahoo.com...