I would recommend disabling it in Group Policy.
This works for XP machines:
1. Click Start, click Run, type gpedit.msc, and then click OK.
2. In Group Policy, expand Local Computer Policy, expand Computer Configuration, expand Administrative Templates, expand Windows Components, and then expand Windows Messenger.
3. Double-click Do not allow Windows Messenger to be run, and then click Enabled.
4. Click OK.
5. On the File menu, click Exit to quit the Group Policy snap-in.