This is a well known problem.
The issue is that there is Windows Messenger (current version 4.7) and MSN Messenger (Current Version 6.2)
Windows Messenger starts up very quietly and it is probably this that is stopping you go any further.
Try Task Manager and killing 'msmsgs.exe' (windows messenger) and msnmgs.exe (MSN messenger).
In caser it really is MSN Messenger getting in your way then try altering the options so that it does not start automatically - then you should be OK.