You could have combined this one with your other question about data plans since the answers are closely linked. What is a data plan?
You must have a Blackberry data plan to use Blackberry specific features including Blackberry Messenger. If you have regular Internet, that doesn't work. I believe some of the carriers in the UK have something called a "Blackberry Bolt-on" that adds the Blackberry features. Can't remember if O2 is one of them.