To remove MSN altogether:
Go to Control Panel (via the Start menu)
Click on Add/Remove Programs
Scroll down to find, and then click on, MSN Messenger
Click on Remove
If you'd rather keep MSN, but not have it automatically starting at boot-up:
Go to Start > Run
Type 'msconfig'
Click the 'Startup' tab.
Click to remove the tick alongside the MSN progam
Click 'Apply' then 'OK'