I share your confusion - I thought versions 3.8 and above included an IM program by OZ Software. Apparently, that is wrong and there is some OZ software on the device but it relates more to the SMS capability. I have never received a clear answer though as to what it is and how you use it. I use Webmessenger for IM because there does not seem to be a built-in program.
Maybe someone on the forum can clear this up?