Helping people with computers... one answer at a time.
Windows Messenger often starts automatically because it's been configured to. There's another way it can show up unexpectedly as well.
I have Windows XP Pro. I do not utilize MSN Messenger for messaging, however every time that i start or restart my computer; MSN Messenger starts up. I understand that if I had a login for MSN Messenger I could disable it from starting. However, I do not have a login and don't want to setup on for this purpose.
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At the risk of stating perhaps too strong an opinion, this falls into the category of really annoying stuff that Microsoft did with Messenger, and with other programs on your machine.
The good news is you don't need a login at all.
Here's a hint at the unexpected: I'll bet you're running Outlook Express.
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I go through this every time I install or reinstall Windows XP.
Typically it's Windows Messenger, not MSN Messenger that shows up initially, but the basics are the same.
Right click on the Messenger icon in the taskbar's notification area:

Click on Open to open the program. You won't be logged in to messenger, but that's ok.
Click on the Tools menu, the Options menu item, and then the Preferences tab.

Make sure that "Run Windows Messenger when Windows starts" is unchecked.
Now click on OK, then click on the File menu, Close item, and then finally right click on that taskbar icon again and click on the Exit menu item.
That's probably half the battle right there - simply telling Messenger not to start.
But there's an co-conspirator that could still cause Messenger to appear again: Outlook Express.
Fire up Outlook Express, and then click on the Tools menu, the Options menu item, and then make sure that the General tab is showing.

You'll quickly see what may be the problem: make sure that "Automatically log on to Windows Messenger" is unchecked.
Yes, Outlook Express seems to want to start Windows messenger by default. No, I don't know why. I do know that for most people the default should typically be the reverse: don't automatically log on to Windows Messenger.
But, the default is what the default is, and now you can turn it off.
Article C4117 - January 14, 2010
I have all the boxes un-checked. I do not use outlook express and infact have removed outlook express from my machine.
Windows live messenger still starts up.
I have stopped it from working by indicating to McAfee that access to the program is not allowed. Now, it starts up but does not work and a large red X appears over the icon. All of the annoying automatically generated pop-ups are gone.
Posted by: Hugo Kurtz at January 19, 2010 3:38 PMThis might work for Hugo Kurtz --it did for me:
Posted by: Bill Kingman at January 19, 2010 5:56 PMSTART > RUN > type MSCONFIG > STARTUP > uncheck MSNMSGR > APPLY. Restart computer.
I have Windows 7 and there was no "open" in the box that came up. I used the suggestion Posted by: Bill Kingman at January 19, 2010 5:56 PM above. Thanks Bill and thanks Leo for providing this wonderful site.
Posted by: Anthony at January 19, 2010 9:00 PMI believe you have to do these changes to each identity in OE
Posted by: Ken Betts at January 19, 2010 10:56 PMI found the best way for users who do not want to "see" Messanger ever, is to simply go to the Control Panel, Add Remove Programs, Remove Windows Components, and just uncheck it. It will be uninstalled.
Posted by: Dana McKinzie at January 21, 2010 11:23 AM