Window messenger runing without asking password

First off 2 questions,
Which operating system are you using, and which brand of computer.

Secondly, Windows messenger and MSN messenger are two different programs and hopefully the information below will help sort out which is which.
On Windows XP and presumably later, "Windows Messenger" is another instant messaging client, very much like MSN Messenger. It is installed when you install Windows XP and runs only on Windows XP. (The updated Windows Messenger 5.0 also runs on Windows 2000 and can be downloaded here).
While Windows Messenger and MSN Messenger look very similar, they in fact are two separate applications. The good news is that either can be used to access the same .NET Messaging Service contacts. That's the default instant messaging service for both and the one you'll use on the internet. What that really means is that if all you're doing is instant messaging your friends and family on the internet, it doesn't matter which one you use and changing from one to the other is not a problem.
Unfortunately, as I said, they are two different programs. They have slightly different feature sets and release on different schedules. In particular, Windows Messenger is more tightly integrated with applications such as Microsoft Exchange, Microsoft Outlook, Microsoft Outlook Express, or the Remote Assistance feature of Windows XP. The differences and the confusion don't end there, though. Microsoft has a Knowledgebase article that touches on more of the technical differences and provides instructions for installing and running both on the same machine. The good news is that most likely you'll never need to know how or why you would want to.
But sadly, the confusion does not end there. There is yet another Windows "Messenger".
On Windows 2000 and Windows XP there is a service called "Messenger". It's unfortunately often referred to as the "Windows Messenger" that is used to present what can best be called "network messages" to a machine's user. This is not an instant messaging application, but rather software that runs in the background listening for incoming messages and popping up a very simple box containing the message when one arrives. The most common example might be in a corporate environment when you send a document to a network printer. The messenger service handles the pop-up message that the printer sends back when it has finished.
Unfortunately the Messenger Service has been exploited by spammers to pop-up unwanted advertising messages on unprotected machines on the internet. The average user has absolutely no need for the Windows Messenger Service and thus it can safely be turned off. To do so, go to Start -> Programs -> Accessories -> Administrative Tools -> Computer Management -> Services & Applications -> Services. Double click "Messenger" and set the "Startup Type" to Disabled. You can also "Stop" the service at that same dialog. (You can also grab a copy of 10 Quick Steps to Stopping Pop-Up Ads for help stopping this and other pop-up annoyances.)
Think we're done? Guess again. There's one more instant messaging client I want to briefly mention.
If you play certain games on MSN's Gaming Zone, you may also be presented with a small application called "ZoneFriends". Yes, you guessed it, it's yet another instant messaging application. It's specifically for chatting among the folks you're playing your online games with.
Thankfully though, the word "Messenger" is nowhere to be seen.