Only Windows Messenger is used to connect to the Communications Service and Microsoft Exchange Instant Messaging, but you don't need it to run MSN Messenger features if that's all you're planning to do.
You can't really get rid of Windows Messenger, but you can prevent it from running. By default, Windows XP Professional and Windows XP Home Edition install Windows Messenger. The user interface does not let you remove or uninstall Windows Messenger. When you install Windows XP Service Pack 1, Windows adds a new feature that is named "Set Program Access and Defaults" to the Add or Remove Programs tool in Control Panel. You can use this feature to remove Windows Messenger from the Start menu, from the desktop, or from other locations.