From your screenshot, the icon on the far left that is disguised as a 'network drive'
.. that is the hidden Messenger.
It may be that you may have 2 Messengers running, one that is hidden and one that isn't. Go to Task Manager (CTRL+ALT+DEL) and check on the Processes tab if you have more than 1
msnmsgr.exe processes running.
If you do, you can disable the use of multiple Messengers clients running at once by going to Plus! > Preferences > Customize! > untick 'Allow me to connect to several account simultaneously'.
If you don't and you mean to say that when you lock Messenger it shows the disguised icon
but does not hide the Messenger icon, let me know and I'll try to find a fix.
-Chris