i was wondering if that support folder can be safely deleted? and one more question.. will i be able to install msn messenger if i uninstall internet explorer using nlite?

Your first question's answer is yes you can delete "support tool" folder safely. second question that you ask i have no idia about it.

For the second question, I only have IE Core and live messenger works fine.

i386 folder is the only important directory there ... the rest are just addons ... your installation will still be a GO without the rest ...