Windows Messenger and MSN Messenger have always been a source of confusion to me and most people
I am not sure if SP1 and SP2 have addressed this but prior to these this is what you did to remove it
Goto the Windows Directory in Explorer Ensure you can see hidden and system files.
Find sysoc.inf file
Open
Find
msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,hide,7
remove hide and nothing else.
Save, close and now you can remove it in Add Remove Windows Components in Control Panel
Anyone like to advise further on this ?