MSN Messenger comes installed on Windows XP. You can tell it not to load at startup but whenever Windows Update does anything it has a nasty habit of reappearing. Running the following command (Start -> Run) will reportedly remove it for good.
RunDll32 advpack.dll,LaunchINFSection %windir%\INF\msmsgs.inf,BLC.Remove
I ran it just now and it appeared to do something but I'm yet to be convinced that it will not reappear next time I install an update (shouldn't have to wait too long).