Try this...
1. Sign on to Windows Live Messenger
2. Menu/Tools/Options
3. Choose Sign In.
4. Under General, uncheck the box beside, "Automatically run Windows Live Messenger when I log on to Windows.
5. Click the 'Accept/OK' button.
Also;
In XP, you can also disable Messenger from "Services", which is found under Performance and Maintenance -> Administrative Tools..."
In Win 8 :-), wlidsvc can be stopped. It's the Windows live ID sign in assistant.
PS. Don't use Win Live so can't confirm. Usual caveats, etc...