Check what is in your Startup folder. Goto Start > All Programs > Startup. Any shortcuts in there for programs that you do not want to start when you boot up, right click the shortcut and select delete. This just deletes the shortcut, not the program itself.
2) The programs themselves
For whichever program you can identify that starts when you boot up, open up that program, find Preferences, or Options, (very often in the Tools menu), and search the options for things like, "Start on startup", or "Icon in System Tray, (Notification Area)". The wording may be different for each program.
Goto Start > Run and type in msconfig then click OK.
In the System Configuration Utility window that opens click the Startup tab. Look down the list for programs you can identify that you do not want to start on boot up.
Return to the General tab, then select "Selective Startup". Make sure all the options underneath are selected.
Return to the Startup tab and de-select the programs you do not want to start. Click Apply, then OK.
You will get a message saying you must restart your computer. When you do, a window will display stating you have chosen selective startup. You can suppress this message in that window. The next time you amend msconfig, that window message will re-appear.
There is a 4th method. If you want Windows Messenger Service to stop, (not to be confused with MSN Messenger), goto this site for instructions;