This likely means that you are running something else at startup that auto-launches Windows Messenger, such as OE (the most-likely suspect).
First, let's kill the auto-logon to WM. Click Start->Control Panel->User Accounts->Advanced->Manage Passwords. Remove Passport.Net\* (Passport) from the list.
Second, launch OE and go to Tools->Options. Uncheck the fourth option on the General tab ("Automatically logon to WM").
In addition, you should make sure WM options are set so that it doesn't run in the background. That's been an annoying "feature" since v4.7 shipped.
If you totally wanna kill WM integration with OE, open regedit, go to HKCU\Software\Microsoft\Outlook Express. Add a DWORD, name = Hide Messenger, data = 2.