Alternatively, you can disable it from starting.
In most versions of Windows, if you click Start... Run... and type "msconfig" without the quotes, then click OK, you can disable the various things that start up when your computer boots on the last tab of the program. You will probably find "Messenger" and "MSN Messenger", disable the first.
If your version of windows doesn't have msconfig, go to
http://www.mlin.net/StartupCPL.shtml and download StartupCPL. This is a simple program that appears in your Control Panel and allows you to disable & enable your startup programs to your hearts content, no matter where they hide on your system. It's freeware and IMO, is easier and nicer than msconfig.