Its up 2 u which one you use, the new MSN Messenger is updated and includes more features which I think are preferable to .Net Messenger.
I had the same problem when I first got my new laptop, it is possible to get rid off .Net messenger, follow the instructions below and it should get rid of it!
Go to, Start, Run and type or paste in
RunDll32 advpack.dll,LaunchINFSection %windir%\INF\msmsgs.inf,BLC.Remove
and click OK.
Windows messenger should now be gone!