I too had the problem of “could not find key”. I went into regedit through the run pompt. HKEY_LOCAL_MACHINESOFTWAREMicrosoftMessengerServiceClients.
Right click on clients and select permissions, then allow full access and read for the user profile you are trying to install MSN Messenger under. The problem being that Your user did not have the allowance to install into the registrdy folder.