Windows Messenger is a small version apparent to MSN Messenger which can however create conflict when both installed. So its removal can only be beneficial for your pc.
Removing the Software
Upon installing XP, Windows Messenger will be housed in the taskbar.
If you do not use this program, it's better to remove it and save a small amount of RAM and space on the hard disk. Unfortunately, this task is not possible through the Control Panel> Add Remove Programs.