Wave 3 is the new release of the windows live suite of programs, these beta programs are available from download.live.com. The program list includes Messenger Beta, Movie Maker Beta, Live Mail Beta, Windows Live Writer Beta, Photo Gallery Beta and others. These are packaged with a common installer, you can choose which programs you want to install from the list, if you have already have some this programs installed they will get updated.
You can get the installer from here (direct link), open the installer it will show the list of programs, select the ones you want to install, if you select all of them the download size is around 150MB. Movie Maker is available for only Windows Vista.
The new applications bring some new features. The UI is changed a bit for both Live Writer and Mail. Now it is possible to upload videos to Youtube from Live Writer itself, which is cool and may ne useful for people who post lot of videos. Via LiveSide