Hey there.
To turn off the service permanently, you need to get into the Services tool
found in Control Panel, which can be found by clicking the Start Menu -->
Settings --> Control Panel --> Administrative Tools --> Services.
Once inside Services, go down the list until you find one called
"Messenger", double-click it and click the "Stop" button. After the service
has safely shut down, click on the box just above called "Startup Type", and
change it from Automatic or Manual to Disabled.
If you're using XP, upgrading to Service Pack 2 will automatically do this
for you and a whole lot more.
Sincerely,
Michael Katz [MVP - MSN Client]