Some programs can be an absolute pain in the butt, because whether you want to or not they will put a a start up line in your pc's config.
However, you can disable these yourself :)
1) 'click' Start, go to 'Run' and 'click'
2) In the Run box type 'msconfig' (without the quotes) 'click' OK
3) System Configuration Utility should appear 'click' Starup tab
4)This should then show everything that starts up when you boot your pc.
Some have quite obscure names but most are with a little thought readily identified. Identify the one for MSN Messenger (I don't have it so cannot assist here) remove the tick from the box and 'click' Apply
5) System Configuration Utility should disappear and you will be asked if you want to 'restart' . Do so.
Should now be OK
WARNING, do not attempt to alter anything on the other 'tabs' of the System Configuration Utility unless you know exactly what your doing
'msconfig' is quite a handy little tool but do not play with it :) misuse will fubar your system.