Heh, Heh, Heh. (insert maniacal laugh here)
Warning! Warning! The following is an act of treason. If caught, you may be hung from a tree, gutted, and shot by msft. Proceed at the risk of instant death/slay/+10000 fire damage.
Anyway, right click on the taskbar icon. Open. Go under settings or preferences (whatever, I forget. I've only crashed this computer 9 or 10 times with xp). Click under the second tab (I forget what it's called too). Uncheck the 6 checkmarks there. Something like 'load this program with windows. Automatic login. Run this program in the background'. Bottom line is shut it down within the program. Close the window. The taskbar icon should be gone. Now go under 'add/remove programs', 'windows components'. Chuck the msn exploder/whatever their little data gathering isp deal thing is.
Now all the .exe and .dll files are not in use. Start deleting everything in the program files/messenger folder. There a couple you can't delete because they are 'in use'. After you reboot, I think they become unlocked, and you can chuck them then. I have an empty messenger folder right now.