You are downloading Windows Applications? If so, a Mac is not Windows. It runs OSX and OSX does not run Windows applications. I am guessing what you mean here but that is my take on what is happening.
It would be quite simple if you were downloading the Mac versions of these programs, unfortunately you're expecting a Mac to be able to run Windows software and it does not (although there are many ways to do so). Before you get bummed out, might I suggest doing a bit more research to broaden your understanding of the computer you just purchased? In particular, I would recommend sites like this and this and this.
You can easily get Microsoft Messenger for Mac here. I'm not sure about the other program you mentioned, but typically there is a Mac-based tool available as an alternative to the Windows programs you're accustomed to.
Also, I'm moving your thread over to the Switcher's forum, since this is not the place for these kinds of questions.
I wouldn't say 'Oh I want my windows back' until you get used to OS X because it is different but in many cases suits its users better for what they need.
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