We have not found a way to easily disable the Windows Messenger service on XP via the application. You can use the MMC (Microsoft Management Console) to do this, though. Select start–>run, enter mmc, and click OK. Select Add/Remove Snap-in, Add, Group Policy, Add, Local Computer, Finish.
Here is a graphic of the appropriate part of the tree where you can disable Windows Messenger. Simply enable “Do not allow Windows Messenger to be run”, and you no longer have to see that icon in your system tray.
Of course, there are many, many other Snap-ins and options that you can use. Do be careful. There are some options that are difficult to back out of, particularly if you lock yourself out of the MMC. 🙂