BTW - MSN Messenger and Windows Messenger are unrelated. Apps such as MSN Messenger, Yahoo! Messenger, Trillian (and clones), ICQ, and AIM are in-and-of-themselves legitimate and should be neither cause for concern nor source of problem. The major issue is careless, insecure use of such applications.
There are plenty of rogue messaging clients out there, perhaps the most notorious, and insidious, of which is MessengerPlus!, a critter that can be a real project to evict once its taken up residence on your machine and invited its freinds to join the party. My advice is to research any app before you download and install it; use your favorite websearch engine - type in the app's name, then the word "remove", and see what comes up. If there are lots and lots of hits from security/privacy websites and forums, the app likely is not something you really want.
Keeping control of your machine is your responsibility, and begins with
Safe Hex