Jason points out that some mobile operators ship Windows Mobile with the full version of Windows Live, which includes Windows Live Messenger, others ship with a partner-developed Windows Live Messenger client instead.
If you're in that last half, you might be missing out on all the features of a full Windows Live install, which includes push Hotmail, Windows Live Contacts synchronization, a Live Search bar for your homescreen, and one-click photo upload to Windows Live Spaces. But now, there's a special version of Windows Mobile just for you, available now from http://wl.windowsmobile.com.