Thanks for the replies - didn't realise there were two different issues here. It's definitly 'Messenger' that is the culprit here. I have corrected the issue mentioned by Richard and Goates, and at the moment (after a clean boot) I am not getting the error message.. however, a quick look at the process tab in task manager shows I am still running msmsgs.exe - which, I assume, is the blighter I'm trying to quit.
(Flappy.. I think in MSN messenger there is an option to stop the thing loading at boot - I know, I disabled it sometime ago but originally thought the subject of this thread was one and the same. Seem to recall you either right click or double click on the MSN messenger icon in the taskbar to get to the options menu.)