Try this site:

http://www.dougknox.com/xp/tips/xp_messenger_remove.htm

Control panel, Add/remove; in the left column click on Add/remove Windows components. In the window that opens, scroll down to Windows messenger, uncheck the box, etc.

Note if you are using Office Outlook, be sure to go to tools, options, other tab, clear enable instant messaging, otherwise it will be very slow to open.
If you are using Outlook Express, see
http://forums.us.dell.com/supportforums/board/message?board.id=sw_winxp&message.id=86747&highlight=Outlook+Express+slow+open#M86747

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@JRosenfeld wrote:

Control panel, Add/remove; in the left column click on Add/remove Windows components. In the window that opens, scroll down to Windows messenger, uncheck the box, etc.

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INFO:
The above method doesn't completely remove W. Messenger  you have use Doug Knox method etc.