Open a command prompt by clicking Start/Run, then typing "command" and clicking OK.
Uninstall MSN Messenger by typing "rundll32 advpack.dll,LaunchINFSection %systemRoot%\INF\msmsgs.inf,BLC.Remove"
Uninstall the leftover installation information file by typing "rundll32 setupapi,InstallHinfSection BLC.Remove 128 %systemRoot%\INF\msmsgs.inf"
Allow MSN Messenger to be displayed in the Add/Remove Windows Components dialog in the future (if it pops up again!) by typing "notepad.exe %systemRoot%\INF\sysoc.inf" and deleting the word "hide" from the line that starts with "msmsgs=".
It MAY be possible to skip to this step directly and perform the uninstallation directly from the Add/Remove Windows Components dialog, but that method MAY leave unwanted components and has not been thoroughly tested.
Reboot!