geekdiggy do this, its a lot easier... no need to install other programs you don't need to get rid of one you don't want, or to mess about with hidden files etc..
Open a command prompt by clicking Start/Run, then typing "command" and clicking OK.
Uninstall MSN Messenger by typing :
"rundll32 advpack.dll,LaunchINFSection %systemRoot%\INF\msmsgs.inf,BLC.Remove" (without the quotes), hit enter and its gone

.. if it gives an error about removing a component just click ok and forget about it, messenger is gone..