either in the messenger options (but I think you have to sign in to get to that... a ****** if you don't have an account!)
or click start > run type in msconfig and hit enter, click on the startup tab and look down the list for messenger (depending on version it's called a few different things, they all end in messenger though) and take the tick out from next to it, click ok and restart.
you will get a warning on startup that you have modified the startup, just put a tick in the don't show me this again box and click ok