If you have the messenger icon appearing in your Web browser tool bar, you can't just click delete I believe. Well, like on IE I have the AIM icon at the top, where the back, forward, refresh etc buttons are. What you need to do to get rid of it from there is right click the tool bar, if not the MSNM button and scroll down to "customize" that should take you a window with options on which toolbar buttons to display.
Also when installing the program, you have the option of clicking certain check boxes which will automatically create desktop short cuts of the program or place the program in your quick launch menu. If you make sure you don't click those it won't show up. If you do place a short cut on the start, programs, menu you can right click and delete it
...heck I'm sure you can probably even make the properties of all folders MSNM installs in your computer hidden..
Hummm.......why are you wanting to hide it though? If you aren't allowed to use Instant messaging tools you should really just not use them. If your parents are against it or something, talk to them and explain to them that a lot of these devices have options which allow you to customize the programs and make them safer for younger users. Then that way you won't have to risk being caught, which will only make it worse. If you try to hide it they'll wonder what else you've been trying to keep from them or something..well only heed this advice if you are trying to keep it from your parents lol...if not, then off you go.