This errormessage only comes up because you aren't connected to the internet yet. You can start up MSNM after you connected to the internet to prevent this. Set MSNM to not log on automaticly when logging on to windows (main msn screen: tools > general > uncheck "automaticly run Messenger when i log on to windows").
If you have Messenger Plus! this may be an option aswell:
From
help registry:
HKCU\Software\Patchou\MsgPlus2 DelayedSignin dword 0
You can use this setting to make Messenger automatically sign-in after the specified delay (expressed in seconds). Set the value to 0 to disable the feature. To use this feature, you must disable the auto-signin option of Messenger.
Asfor it insisting to open main window..check if it really is set not to do that (it's the second option on the same tab as the automaticly log on).