Like mentioned they are two different products.
MSN Messenger, is for everyday home users.
Windows Messenger is for Businesses to do real-time communication with partners, perhaps online meetings.
MSN Messenger depends on Windows Messenger for a few of it's services, i.e. Remote Desktop and Whiteboard.
You shouldn't uninstall it, unless you really don't use any of those shared services.
Furthermore it's a common problem even if you changed your options in preferences that Windows Messenger still loads up, it happens on many accounts, it can be easily invoked upon by other MS related applications, hence why it loads, generally my solution to this is, end msmsgs.exe in the Task Manager.
Navigate to C:\Program Files\Messenger
rename msmsgs.exe to msmsgsSTOP.exe
That should be fine and when you need to use Remote desktop etc, rename it back, and run it.