Well, you can do the following, although mucking about in the system registry can cause serious problems for your operating system, so no responsibility etc for the following advice! (sorry - lawyer in me dies hard)
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Start the registry editor ("Start", "Run...", type "regedit", press "OK")
Before doing anything else, the experts always recommend you save a copy of your registry ("File" menu then "Export" and make sure you export "All" of the registry).
Navigate in the tree on the left hand side of the page to HKEY_CURRENT_USER - Software - Microsoft - Windows - CurrentVersion - Run
On the right hand side you'll see a list of processes which start every time you run windows (if you ever get a virus you'll often find an entry for it lurking here, among legitimate entries). Right-click the one called "msnmsgr" and select "delete". This means Windows will no longer attempt to start this program when you reboot.
You can simply close Registry Editor (no need to save changes - it happens straight away) and reboot.
It's actually a lot easier than it sounds
