Note: This is for WINDOWS Messenger, not MSN Messenger

On XP Systems without SP1:

Click Start / Run  Then type the following:
RunDll32 advpack.dll,LaunchINFSection %windir%\INF\msmsgs.inf,BLC.Remove
Press ENTER
Restart Windows

On XP Systems WITH SP 1:

Control Panel
Add / Remove Programs
Click on "Add/Remove Windows Components" on the left
UNcheck "Windows Messenger"
Click "NEXT"
Click "Finish"
Reboot

NOTE: the second method does not work on every system - you may still need to use the first method