Microsoft Knowledge Base Article 302089 contains the following summary:
This article describes how to prevent Windows Messenger from
running. By default, Windows XP Professional and Windows XP Home Edition
install Windows Messenger. The user interface does not let you remove or
uninstall Windows Messenger.
When you install Windows XP Service Pack 1 (SP1), Windows adds a new feature that is named "Set Program Access and Defaults" to the Add or Remove Programs tool in Control Panel. You can use this feature to remove Windows Messenger from the Start menu, from the desktop, or from other locations.
For additional information, click the following article number to view the article in the Microsoft Knowledge Base:
332003 How to change your default programs and to enable or remove access to Microsoft Windows and non-Microsoft programs