Are you sure its MSN messenger?
It might be the Messenger Service, its in NT, 2000 and XP and is used to send administrative alerts across networks. Some unscrupulous individuals decided to use this as a spamming mechanism.
Heres how you disable it:
Right click on My Computer
Select Services and Applications, Services
Right click "Messenger", Select Properties
Set Startup Type to "Disabled", and also click the "Stop" button.
That will turn it off and will stop it from auto starting when you load windows!