When you install MSN 8.0 or MSN Messenger 5.0, MSN Messenger starts but Windows Messenger does NOT.

By default, Windows Messenger is configured to start when Windows starts.
By default, MSN Messenger 5.0, installed separately or when you install MSN 8.0, is configured to start when Windows starts.
If both these instant messaging programs are configured to start automatically when Wiindows starts, the Run this program when Windows starts option in cleared.

See 330117 - Running Both Windows Messenger and MSN Messenger 5.0 in Windows.

NOTE: See Two Messenger icons appear in your Windows XP notification area?

NOTE: See 307887 - HOW TO: Use Windows Messenger Instant Messaging in Windows Messenger.

NOTE: See http://messenger.microsoft.com.