I bumped into a nice guide/rant on how to do this. It’s available here but a lot of rant and not a lot of instructions.
What you need to do is go to
http://www.techspot.com/downloads/29-windows-live-messenger.html
and grab the Messenger install. Basically the Windows Live installer is the only part not compatible with server 03, so if you just get this it all works fine.
