Windows Messenger and MSN Messenger are two difference programs. If you are talking about MSN Messenger (which apparently you are, looking at the title of this thread) you just remove it from the add/remove section in the control panel. If you are refering to Windows Messenger (comes together with Windows XP) then its a bit more complicated. Take a look at
this site where you find out how to delete it. There are two ways, one downloading a file that will delete it automatically, and the other one running the command already posted in this thread. The difference is that this file also changes the registry that has to be change if you use Outlook Express, or else it will take it a very long time to boot, because it doesnt find Windows Messenger, which they interact with each other. In the site it explains how to change that in the Windows registry manually. Both are easy methods, and you shouldnt experience any problems at all.
dan