Thanks to JO in a comment to my earlier post, I did manage to install Live Messenger and Live Writer to my Server 2008 laptop.
The procedure requires installing the Live software to a supported os (Win XP in my case) and copy the .msi packages over to server and run them directly. At least in XP the correct folder to look is C:\Program Files\Common Files\WindowsLiveInstaller\MsiSources, Windows Explorer tooltip shows which package is for which application.