Why Can't I Hear My Friend When Trying To Chat In Windows Live Messenger?

I am trying to chat with my boyfriend who lives in the UK. I'm in the US. He has a headset(Sweex) and I have one(Logitech). They both are connected correctly and we have completely done the whole voice recording and playback checks with all the appropriate boxes checked. I simply cannot hear him at all. He can hear me just fine. We have discussed using Skype but I cannot download it to my computer. I also cannot download Yahoo Messenger. Someone has told him he needs to subscribe to live chat through MSN and it is expensive like a premium phone line. But, I don't believe them because I had chatted with a friend who was over in the UK at the time with both he and I using MSN. I need some exact layman's terms steps to take to fully resolve this. He has an EMachines(2005-2006) and runs it on Windows XP. I have an Intel Pentium which runs on Windows XP. Please help as it is one of the best ways for us to talk. He is my fiance and the mobile phone charges are through the roof. He and I cannot afford any VOIP phones or anything like that. I appreciate your help. Thank you.
 
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