Is it Messenger or MSN Messenger? There is a difference. As Larry said, uninstall MSN Messenger... but don't reinstall yet. Run your spyware detection and AV software before attempting a reinstall.
If the problem is with Messenger, that thing is ridiculously hard to shut down, but it can be done. Boot up in safe mode. Go to your
C:\Program Files\Messenger folder and create a new sub folder called BAK (or anything you like). Move all your files from the Messenger folder into the newly created sub folder. You could just delete those files and leave the folder, but this way you can restore it if you want/need to. Now your Windows'Messenger, NOT MSN Messenger, will not be able to load,and it will not create any error messages or cause problems like it would if you deleted the Messenger folder. Also, you can run your AS and AV in Safe Mode while you're there.
Which softwares have you run? As Larry mentioned, are you SURE they all up to date?
So you've tried both Spybot and Ad-Aware to no avail? The latest version of Spybot is 1.3. You have to download this version because 1.2 will not update to 1.3. The update feature is for definitions and the engine itself has been upgraded. 1.3 has a feature which allows you to lock down you homepage, so that hijackers can't get it.
In my experience anti spyware softwares should be run under each profile on your computer, especially if Spybot repeatedly asks to run at reboot.
Your anti-virus isn't detecting anything? You can try
Trendmicro's Online AV. It is a very good scan.
If all that has failed, you can use
HiJackThis which will scan your registry and reveal suspicious registry entries.
If you still have the problem, then again as per Larry, a manual registry search is in order, but be careful mucking around your registry if you don't know what you are doing.
As a last resort, there is always
format C:\ 
Good Luck!
[ 09-28-2004, 03:14 PM: Message edited by: Ronn_Bman ]