If you have a messenger account you can tell messenger to not start with Windows in Tools>Options, the "Tools" tab is not available until you log in.
The other option is to install Ccleaner (which is a good idea any way because it's one of the best free tools for keeping your machine running clean and fast) and in the Tools> StartUp section remove messenger from the startup list.
Ccleaner is a free tool available here:
http://www.ccleaner.com/