These 3 files are for custom Messenger applications. For example, you can add images of your contacts or create an add-in component that links to your e-mail system to alert you when new messages arrive! Overview
Messenger Client API: (messengerua.exe)
Download this documentation to learn about how to incorporate Messenger features into your Microsoft Visual C++ or Microsoft Visual Basic applications. Automate the Messenger client or keep track of your favorite contacts.

Messenger Service API: (messenger.exe)
Tap into the Messenger services on your instant messaging server or through the Microsoft .NET Messenger Service. This documentation will help you learn about Messenger Session Invite and Lock and Key APIs.

Messenger Add-Ins API: (messengeraddins.exe)
This documentation shows you how to create add-in components for the Windows Messenger client on Microsoft Windows XP. The Add-In APIs are not available with any version of Windows Messenger other than 4.6 or 4.7 and are not available with MSN Messenger.

System Requirements
Windows XP

Instructions
Run setup.exe to install the SDK.

- Download the files.

(Source: ieXbeta)