The Windows Live Messenger IM Control enables web sites to show the presence of Windows Live Messenger users and lets site visitors engage in instant messaging conversations with the Messenger users. A Web site can invite its users to share their Messenger presence and exchange messages with visitors to the site. When a site hosts the Windows Live Messenger IM Control, site visitors can instant message Messenger users directly from the browser without installing the Windows Live Messenger desktop client on their computers.

This pretty good control is easy to use. You will only add the IFrame code that Live messenger gives you then you can start having conversations with your visitors of your personal web page and blogs easly.

Helpful links,
ScreenCast
Article
MSDN

Enjoy ;)

Doga.