I noticed you asked for the difference between the two, well here it is.
On Windows XP, and presumably later, "Windows Messenger" is another instant messaging client, very much like MSN Messenger. It is installed when you install Windows XP, and runs only on Windows XP.
While Windows Messenger and MSN Messenger look very similar, they are, in fact, two separate applications. The good news is that either can be used to access the same .NET Messaging Service contacts. That's the default instant messaging service for both, and the one you'll use on the internet. What that really means is that if all you're doing is instant messaging your friends and family on the internet, it doesn't matter which one you use, and changing from one to the other is not a problem.
Unfortunately, as I said, they are two different programs. They have slightly different feature sets, and release on different schedules. In particular, Windows Messenger is more tightly integrated with applications such as Microsoft Exchange, Microsoft Outlook, Microsoft Outlook Express, or the Remote Assistance feature of Windows XP. The differences, and the confusion, don't end there, though. Microsoft has a Knowledgebase article that touches on more of the technical differences, and provides instructions for installing and running both on the same machine. The good news is that chances are, you'll never need to know how, or why, you would want to.
Also check out these two links for more detail.
http://ask-leo.com/archives/000017.html (taken form this site)
http://support.microsoft.com/?kbid=330117