Ellenpoly, go to "Start" (the button in the Task bar), "Settings", "Control Panel", "Services" (might be hidden in "Administrative Tools" depending on OS).

Search for "Messenger", right-click on it, select "Properties", under "Startup Type" select "disabled".
If the "Service Status" is not "Stopped", click on the "Stop" button to stop the service immediately (otherwise it will run till you re-boot your machine).