Some poorly coded plug-ins are known to cause this behaviour. If you have some of those, you can choose not to use them anymore.
Another solution would be to disable Windows Messenger in a proper way. Its features will still be available, but the program itself won't load anymore. Take a look at CookieRevised's reply to I am about to rip my hair out over MS Messanger for information on how to disable Windows Messenger in a proper way
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