The following has been copied and pasted from Steve Gibson's site.
Windows Messenger Service
The first thing to understand is that the Windows Messenger Service is completely different from, and not in any way related to, "MSN Messenger", "Windows Messenger", or any other well-known instant messaging system. Therefore, disabling the Windows Messenger service will have no effect upon your use of any other instant messaging applications. They will continue to work without trouble.
Shoot the messenger DOES NOT remove Windows Messenger, infact it disables a totally different thing which is not to be confused with Windows Messenger.
Steve Gibsons Shoot the messenger disables the Net Messenger service which is used to send messages between networked systems. It is NOT windows messenger. The reason this utility is on his website is some people miss use it and send offensive spam notes.
Windows messenger is a program built into windows for instant messaging, which is totally different, and is not disabled by Steve Gibsons shoot the messenger.
You can remove windows messenger in Add/Remove system components.