Sorry but if your talking about the Windows Live features such as Photo Gallery and Move Maker etc., your out of luck. Microsoft does not make these available to Mac users.
As for MSN Messenger, what you have downloaded is the latest version available for Mac. I didn't think it was too different from the PC counterpart, but it may take you a little while to get use to.
As you have just switched to Mac from Windows, make sure to check out Office for Mac 2011 which is available for purchase if you need Word, Excel, Powerpoint.
Also you should also download this free plugin Flip4Mac at:
http://windows.microsoft.com/en-US/windows/products/windows-media-player/wmcompo nents
This will allow you play windows media files through Apple's Quicktime player which is already pre-installed on your Mac. So you have a video you would like to watch that is wmv specific, this plugin will allow you to play it with quicktime.