The inability to minimize MSN Messenger into the system tray in Windows 7 is a nuisance for a many users. By running MSN in compatibility mode and selecting Windows Vista, MSN will no longer remain in the taskbar and will minimize into the system tray instead.

If you’ve applied the Windows 7 Beta watermark patch, this tutorial may not work for you.
How-to:
1) Go to your MSN folder. It’s usually located at: C:Program FilesWindows LiveMessenger
2) Right click msnmsgr.exe and select Properties

3) Select the Compatibility tab at the top.
4) Check Run this program in compatibility mode for: and select Windows Vista from the drop-down menu

5) Click Apply, then OK, and you’re finished
You’ll need to completely close MSN Messenger and re-open it for changes to take place.
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That’s great1 it minimize to SysTray but wont leave the TaskBar.
What is to notice is that when freshly installed windos 7 the MSN uses 2 spaces on the taskbar, so after that fix there’s one that disappear (and end up in on the TaskBar) but there still is one on the TaskBar, How do we get rid of that one too?
Simply click on the X instead of minimizing.
After the compatibility fix is applied, you can then use the app normally where minimize leave messenger on the taskbar and click the X button to get rid of it all(will then minimize to tray automatically)
Hope that’s what you were looking for.