http://www.dougknox.com/xp/tips/xp_messenger_remove.htm
This will remove WM from your PC
I don't see any problems removing it.. that's the only way I can think of to stop it running all the time.. I had to do the same.
Only thing I can think of is go to Options and untick 'run Windows Messenger when windows starts' and 'run in background' box.