i found thid on the list:

Stop Windows Messenger from Auto-Starting (XP)
If you're not a big fan of Windows Messenger, you can use the tip "Add/Remove optional features of Windows XP" above to remove it, or simply delete the following Registry Key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run\MSMSGS

>> i have a better solution: just rename the exe file on
C:\Program Files\Messenger\msmsgs.exe
to
C:\Program Files\Messenger\msmsgs.del
so you could rename it back to exe when you need it (i need it like once a year).
Also, even if i delete the registry entry, some program (outlook express ?) puts it back on registry. Anyway, hope this helps.