D'oh...I gave you wrong advice. I thought you were talking about any of the alerts from MSN Messenger, but you meant specifically messages from friends who are sending you an IM.
When receiving a new IM, the newly created IM window is minimized by default. As a result, the new taskbar button for this window is active (meaning, it's blinking). When something like this happens on the taskbar, the Windows design is to expose the taskbar when it is in auto-hide mode: this is to inform you that something important is happening. It will occur for any app that is trying to notify you of something that requires your immediate attention.
In other words, there's nothing you can do about this. Sorry.