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.
If you dare to remove it, go ahead... however if you just simply want it to not run when you start Windows, it's a simple matter of opening it, going to the Tools menu, selecting Options, going to the Peferences tab and unchecking 'Run this program when Windows starts'. You could also use MSCONFIG to edit your startup programs to keep it from loading on startup.
1. From folder options check "See hidden files and folders"
2. Go to Windows/inf
3. Find sysoc.inf and open it
4. Find the line "msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,hide,7"
5. delete the hide so the line is "msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,,7"
6. Go to control panel/add remove programs/windows components
7. Find the windows messenger entry and uncheck it
8. Press ok and the annoying messenger is uninstalled
You can edit the file some more if you want and delete the "hide" from the other entries. The programs without the "hide" will be shown in the add/remove programs.