In my version too, but some people reported it not always being visible in the top right corner when you make the window too small.
That arrow behaves sometimes in very mysterious ways...
Darkane, do you use any window manipulation software like WindowsBlinds or other desktop enhancements? Have you Accessebility features turned on in Windows or something?
Are you using a skin or other Messenger patch?
Have you tried rebooting the PC? (some fixed it with this)
Tried reinstalling Messenger (the latest version)? (some fixed it with this)
EDIT:
searching forums....
Cannot Hide Menu Bar 1
Cannot Hide Menu Bar 2
Hide menu bar - not working???
etc..
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