If you want windows messenger to stop loading when you logon to windows go into its options and disable it from running at windows logon. Your aren't too specific on what you want to accomplish and why?
I've found the answer to my question. To stop Windows XP from associating your user account with your Windows Live ID, click Start>Control Panel>User Accounts>The user account in question>Under Related Tasks select Manage my network passwords>Select the account>Remove.