When MSN Messenger is opened, click "Tools" from menu bar, click "Options", Select "General", then remove the check mark from "Automatically run messenger service when i log on to Windows". Click "Apply" then "OK". When you restart next time MSN Messenger will not open untill you double click MSN messenger ICON.

Note that if you are using Outlook Express as your email client, Messenger is directly tied into this program and thus will be started automatically with Outlook Express.