You can uninstall messenger. Go to Start> Run> Type in:
RunDll32 advpack.dll,LaunchINFSection %windir%\INF\msmsgs.inf,BLC.Remove
I don't recommend this though... It will probably affect your Outlook Express performance. I do what stuy_b suggests myself. That dirty little, ahem, 'fatherless child,' has it's grubhooks in OE real good.
Open Messenger> Tools> Options> 'preferences' tab. Untick the first two options. (see first half of attachment).
Open Outlook Express> Tools> Options> 'general' tab. Untick the fourth item. (see second half of attachment).
Now the only time it should run is when you open Outlook Express... but then only in the background with a little red 'x' on it and it will close out when you close OE.