How are MSN Messenger and Windows® Messenger different?
Windows XP comes with Windows Messenger, which remains available even after MSN Messenger 5.0 is installed on your computer.
Here are some things to keep in mind:
Only Windows Messenger can connect to the Communications Service and Exchange Instant Messaging, which are only used in corporations.
Some programs, such as Outlook, Outlook Express, and Remote Assistance, connect to Windows Messenger by default. When you are signed in to MSN Messenger, you may appear offline to people who connect to these programs and have you listed as a contact.
MSN Messenger and Windows Messenger can run at the same time, but only one will start automatically. You can start the other program from your list of programs (in Windows, click the Start button, point to All Programs, and then click the program you want to start).
In most cases, MSN Messenger will start automatically whenever you start Windows, unless you turn off this setting in your Messenger options. However, if you have set up Windows Messenger for corporate instant messaging and to start automatically when you start Windows, then it will continue in this manner and MSN Messenger will not start automatically.
You can be signed in to both MSN Messenger and Windows Messenger at the same time, but not with the same .NET Passport account. For instance, you can sign in to MSN Messenger with your Passport and then sign in to Windows Messenger with a different Passport account or with your corporate instant messaging account.
When both programs are running, you will see icons for each in your Windows taskbar (near your computer's clock). You can tell them apart by pointing to them with your mouse. When you point to an icon, a message appears telling you which program it is.
If you are signed in to one Messenger program with your Passport and then sign in to the other one using the same account, you will be automatically signed out of the first program.
http://messenger.msn.com/support/helphome.asp?client=1#Q1b
this is what i found in the microsoft faq