Theoretically, you can get rid of it (as well as a few other things). Windows 2000 power users should already be familiar with this tweak.
Fire up the Windows Explorer and navigate your way to the %SYSTEMROOT% \ INF folder. What the heck is that thingy with the percentage signs? It's a variable. For most people, %SYSTEMROOT% is C:\Windows. For others, it may be E:\WinXP. Get it? Okay, on with the hack! In the INF folder, open sysoc.inf (but not before making a BACKUP copy first). Before your eyes glaze over, look for the line containing "msmsgs" in it. Near the end of that particular line, you'll notice that the word "hide" is not so hidden. Go ahead and delete "hide" (so that the flanking commas are left sitting next to one another). Save the file and close it. Now, open the Add and Remove Programs applet in the Control Panel. Click the Add / Remove Windows Components icon. You should see "Windows Messenger" in that list. Remove the checkmark from its box, and you should be set. NOTE: there are other hidden system components in that sysoc.inf file, too. Remove "hide" and the subsequent programs at your own risk.