OK, first, this may seem like a dumb question, but you have Crysis WARS installed, right? Crysis Wars is a free addon for Crysis Warhead. Blame Crytek for the ridiculously similar names.
Anyway, MWLL runs on Crysis WARS, not Warhead. I think you need Warhead installed for Wars to work, so go ahead and keep Warhead installed, and then install Wars. THEN you install MWLL to the Wars directory. Once done, you just need to load up Crysis Warhead (NOT MWLL) and join a normal Wars server with Punkbuster enabled (has a blue icon), connect so your key gets verified, then quit. Then you exit Wars and launch MWLL from the MWLL launcher. In theory, this is all you need to do to get it to work.