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To see how it works, you need to have Microsoft Messenger running on your computer. Go to a site running LiveMessage and click on the appropriate link (e.g. Bink.nu has a LiveMessage button, Flexbeta has a Flexbeta Alerts button, Feld Thoughts has a LiveMessage button, and OnlyOnce has a LiveMessage button.)
If you have a blog consider trying out the LiveMessage Blogger alert service as an option for your blog subscribers.