Go Start/Run/ and type in the box msconfig then click the startup tab, and if you see msn messenger there remove the tick and reboot pc,when your pc starts it will show a text box explaining what you done in diagnostic setup , just put a tick in the box to stop that message showing every time you start your pc.
To stop msn messenger from loading at startup, open your messenger box that shows all your contacts, at the top click TOOLS then OPTIONS at the bottom of the list. Once in there click the GENERAL tab and the top box will say 'automatically run messenger when I log onto windows' untick this box. I found that just unticking the box in msconfig didn't stop it because whenever I used messenger, it just put itself right back in again.
if it is windows messeger you want to stop as opposed to msn messenger go to add/remove programs in control panel click on remove windows components on the left hand side and when it opens up scroll down to messenger and untick, job done.
An easy fix to prevent Messenger starting at startup is to go to your program files and look for the Messenger folder and rename it from Messenger to Messengerdisabled. This tricks windows as it can't find it to load. You will need to completely disable Messenger from running in order to be allowed to change the Messenger file name. This way you have the option of restoring the folder name if ever you want to.