The PSM changing would be the very least of my worries when you say there are big "children" at your office who make it into a sport to change your PSM.
If you 'lock' the PSM down with a script like NiteMare suggested, those "children" would in no time find other things todo on your Messenger and even computer.
Not to mention that 'locking' the PSM down with a script can easly be worked around by simply disabling that script, of which I have no doubt those other guys will soon find out how...
I think the best option you have is really locking Messenger with Messenger Plus!'s Messenger Lock feature with a password. It was especially designed with "running children in your office" in mind...
Or better yet, lock your computer all together. This can be done for example with a screensaver and setting a password. Your current connection, etc will not be lost either if you do that.