First of all: you are NOT using MSN Messenger. This is an extremely common misconception. With that said...
Windows Messenger (and MSN Messenger) integrates with several different .NET or MSN products/services. Microsoft has tried to make this a seemless integration, thinking that if you wish to use one product/service, you would want the "full experience".
For example, you have a Hotmail account. You have MSN Messenger buddies. You logon to Hotmail while MSN Messenger is running, and BLAMMO...you see buddy icons in Hotmail showing the current online state of buddies who have sent you email. Click the buddy icon in Hotmail, and an MSN Messenger conversation window immediately opens to let you send an instant message...without having to re-open Messenger's main UI. Easy-squeezy.
Unfortunately, when using this "integration" it's impossible to get rid of Messenger without exiting the app that has the dependency (or, ctrl+alt+del)
Kinda cool if you're into this sort of thing. Kind of invasive if you're not. It depends on the user.
For XP, Outlook Express only integrates with Windows Messenger. You can go into OE's options page to prevent auto-logon, but there's also a registry setting floating around that prevents Windows Messenger from running when launching OE
Registry Key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Outlook Express
Modify/Create
Data Type: REG_DWORD [Dword Value] // Value Name: Hide Messenger
Value Data: [2 = Messenger Will Not Load]
Exit Registry and Reboot
Enjoy...