MSN keeps appearing in my task bar
Go to C:\Program Files\Windows Live\Messenger and find msnmsgr.exe. Right click it and go to properties. Go to the compatibility tab and check "Run in compatibility mode for:" and select "Windows Vista". Messenger should now display properly and act like you want it to.
If unchecked, it will remain in your task bar, even when you told it to quit.
There are two things happening here:
first, if it's pinned to your taskbar it will always be visible, but if you ALT+Tab it won't pop up, since it's not active.
second, if your logged in, Live Messenger will always keep a dummy screen open, because they no longer use a System Tray icon (like on Windows XP). When you ALT+Tab it will always pop-up and there's no way to disable this (without any hacks).
However this second behavior has been removed in the new Beta version of Live, so your easiest solution is to upgrade to that.
Open up the start menu and type in "msconfig"
Press "control" + "shift" + "enter" to launch as admin
Then navigate to the startup tab and uncheck the Windows Live Messenger entry.
Reboot
That will stop startup, then use run it in compatibility mode like suggested below to make it act how you want it to as to closing the program
Well, if you remove manually MSN from startup, when you launch it, it will put it back to startup.
So, you have to do it in that way: sign in, go to tools > options and uncheck the option to run in startup. It will function until next MSN update.