Have you tried the new beta version Of Windows Live Messenger?
I've just downloaded it and it sounds pretty good to me.
What's new on WLMB:
1- Choose between three different picture sizes for you contacts List.
2- Add and drop contacts to a favorite contact list.
3- You can sing in to Messenger in more than one place and get instant mesegaes everywhere you're signed in.
4- A list of different builtin sounds for your messenger.
5- You can add your own signature sound "the sound your contacts hear when you sign in".
6- Automatically Scan your MSN received files for viruses.
7- Different scene for your main window.
You may notice the sound for nudge and other sound files on this new version lower than it should be. To adjust the volume for your WLMB all what you have to do is to click on your speakers volume icon on the lower right of your taskbar and then click on mixer where you will find Window Live Messenger beta under device!
update: to install the Final version 2009 build 14.0.8050.1202