By default Messenger starts up in 3 ways on a Windows XP system:
1. at startup
2. when you log into hotmail.com using internet explorer
3. when you use outlook express.
#1 can be easily disabled, 2 and 3 require you to edit your registry to disable. Editing the registry might be common for people in IT, but it's not something that most people understand how to do.
With that being said...I'll let the folks here at Computer Hope give you the details.