If you open MSN Messenger, go to Tools > Options > General uncheck all the tick on connection. This will stop it starting up when Windows starts. You can then open it manually when you want to use it and if you sign out each time you have finished it will stay in the taskbar near the clock, to close it completely right click and close
Which do you mean as MSN is different to Windows messenger? To disable Win Messenger try "Shoot the Messenger"click here This lets you turn it on/off as required.MSN Messenger can simply be setup to run with Windows or manually started/switched off.
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