There's two other ways to take care of MSN Messenger, too:

To remove MSN Messenger:

Edit the C:\WINDOWS\inf\sysoc.inf file and remove the word "hide" from the line that refers to msmsgs.

Change this:
msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,hide,7

To this:
msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,,7

After making that change, MSN Messenger will show up in "Add/Remove Programs" in Control Panel, and you can remove it from there.

To disable MSN Messenger without removing it:

Click on Start, then Run, type GPEDIT.MSC in the box, and click OK to open the Group Policy Editor.

In the Group Policy Editor, browse to the following settings and set one of them to ENABLED. (Which one depends on whether you want to completely disable Messenger or just keep it from automatically starting.)

Code:
Local Computer Policy
  Computer Configuration
    Administrative Templates
      Windows Components
        Windows Messenger

          Do not allow Windows Messenger to be run:      _______
          Do not automatically start Windows Messenger:  _______