There are two ways of doing this:
Examples:
Jrnz Loader:
http://spaces.msn.com/members/jnrz/
Stuffplug:
http://www.stuffplug.com
these loaders edit messenger in memory, and basically tells messenger that there is not another messenger running.
Examples:
Mess Patch :
http://www.mess.be (in the downloads section)
A Patch:
http://apatch.tk/
These patches illegally edit the messenger file, and allow it to open many versions of itself.
I would recommend Stuffplug (
http://www.stuffplug.com ) created by theblasphemer, mainly because his plugin for messenger plus comes with many more options, such as open/closed window notification (So you know when someone has opened or closed a conversation with you, very useful
).
If you have any other questions feel free to answer.