The Messages app cannot be deleted from the iPhone as such there is no need to download it nor an option for it. . The Most you can do is stick it in a folder, move it to another Home Screen, or remove it from the Home screens and into the App Library.
You can use the Spotlight search to try to find it, if its in a folder it will tell you which one, or swipe all the way to your last Home Screen and then swipe again to access App Library and search for it there. Once found, it can be dragged back to a Home Screen or onto the dock.