Yes that will do it but there will still be a "flag" appearing saying that you have logged in but you will be shown as "off line". If that is a problem to you go into tools and options to stop the programme launching on boot up.
which MSN are you using? is it Windows Messenger , Windows Live Messenger or MSN 7.0 onwards?
If its Windows Live Messenger or MSN 7.0 and onwards then just set your status as appear offline before you log in to see click here click here. (I am using Windows Live Messenger) but its pretty much the same for the appearing offline