I installed Windows Live Messenger version 14.0.8050.1202. Thereafter, the user name and password were always missing at the start, even though the selections Remember me and Remember my password were checked.
The problem was resolved by fiddling with the registry. For some reason, within the subkey HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Explorer \ User Shell Folders the registry entry AppData had a value %APPDATA%. The user details began to be preserved again, as soon as I returned the value %USERPROFILE%\Application Data.