You can get rid of MSN Messenger from the add/remove components option but it is normally hidden from add/remove list.
This explains how it is done:
http://www.computing.net/windowsxp/w...rum/37257.html
and:
http://www.annoyances.org/exec/forum/winxp/t1010069240
The same method can be used for other hidden components.
Post SP1 you will get an error message on first log on but it can be ignored:
http://www.ostweaks.com/temp/windows...l#_Toc17884031
There are other methods discussed here:
http://www.jsifaq.com/SUBL/tip5700/rh5714.htm
(I used the sysoc.inf method and its great - no mention or pop-up of MSN anywhere)