While there are many ways to kill the Windows Messenger (search google to see the others), I prefer this method:

Navigate to your Program Files folder and locate the MESSENGER folder. Rename it to MESSENGER HIDDEN. It will never load, and if you ever want to use it, simply rename it back to MESSENGER. (you need to exit Messenger before changing name)

In addtion Windows Messenger is NOT the same as Messaging Services (which SHOULD be disabled.

Here is how

If you use XP you need to disable the messaging services

start / run...
scroll down to messaging
right click and properties (or double click)
set to STOP
set start up type to DISABLE