Whir, by moving MSN Messenger out of it's correct installation directory wouldn't that cause a few problems itself? The sounds for the IM itself look into the standard install directory for "MSN Messenger 5.0" to "C:\Program Files\MSN Messenger\*.*" also in the registry MSN Messenger is told to look in that directory for event sounds.
I use the "MSN Messenger 6.0 (Beta)", it is an unnoficial release but I havent had a problem yet. When I go to hotmail to check my emails i dun have any problems at all.
I am aware however that the old MSN Messengers.... (v4.7 and Under) Open automatically when you open "Outlook Express" It should not open MSN Messenger 5 on its own, "well it doesnt for me", however goldenbuddha's idea i like. Trillian maybe complicated but at least it isnt a Microsoft Product.
Anyway, the reason that the IM opens when you are going to the page is because the Hotmail page has certain Java elements. For example: "Next to your received message it shows if the user is online or not." I am pretty sure that the site uses Java to get information from MSN Messenger to tell you if the user is online or not. (The Little Green Man Next To The Email...)
An easier way of stopping this would be to re-name the "msnmsgr.exe" file to something else, and then creating a shortcut for it if you actually use it. Then the sound files that are referred to in the registry are still located.
Not saying that Whir's way wouldnt work, but that is personally how i would do it.
'Good Luck'