In MSN go to: tools > options > general and untick "automaticly run MSN Messenger when i log onto windows" and "allow automatic sign in when connected to the net". That will take care of the automatic starting part (MSN will no longer be started when you start comp or connect to the net).
Now to make it ask for a password again you need to remove the MSN loginlist (passports). For that: exit MSN, go to start > run .. type in: control userpasswords2 <enter>..then go to advanced tab, click passwordmanagement button and remove all passports inthere. Now restart your MSN Messeenger an you will see you need to type in a password again, it will keep askin you too aslong as you don't tell MSN Messenger to remember you
Edit: nice edit madman 
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