A few months ago, the applications for Windows Live got a unified installation application. It works really well... if you're using the right operating system.
Now that Windows Server 2008 is out, I've been on a kick to get all my non-Mac PCs moved over to it. Hardly surprising, since they were more or less all running Windows Server 2003. :) However, I loves me some Live Writer (and can't live without my Live Messenger lifeline to all my friends). I had been resigned to doing secret and undocumented things to get these apps to install.
Then someone enlightened me! The individual MSI files can be found on the Live Suite SkyDrive Folder. A blog post by Sarah Perez documents how to find what you want. ObReminder: doing this means you're unsupported. I can tell you that my personal experience has been that Messenger and Writer both work exceptionally well on Win2K3 and Win2K8.
