Click start > run and type in msconfig and hit enter
now click on the startup tab, have a look down the list and remove the tick from beside msn messenger and click OK, next time you restart your computer MSN won't be loaded.
p.s. next time you restart the will get an info box telling you the startup has changed, put a tick in the box at the bottom and click OK to clear it.
P.P.S. there are probably a few other things that you can remove from startup the same way which would speed your computer up overall. Make a list of the things in the startup and ask on here if you want to do this and somebody will tell you if they are needed or useless junk.