login to messenger click on the menu button (right hand side at the bottom of the blue top part) select tools then options, select the general settings in the left pane and then top option is run at windows startup, take the tick out of that.
If you go into Messenger, Options, General, there is a check box which states "Automatically run Windows Live Messenger when I log onto Windows" - you simply need to untick this box... (I think it's that one, well it is on my pc...lol) click on Apply, then ok or summat like that ! Have a scroll through all the different options available there - you can save your chatter too !