Even though you are fond of chatting on Windows Live Messenger, there will be times when you'll want not to be disturbed and then you will need a plugin like WLM-OSD.

Windows Live Messenger - On Screen Display (WLM-OSD) allows you to read all incoming messages directly on your screen, without having to open any conversation window. You can answer a bit later to your contacts, while still being informed of what they are saying . This way you are less disturbed. For this plugin to work you need Windows Live Messenger and .NET Framework 2.0 installed on your computer.

Download WLM-OSD plugin from here.