Windows Messenger is not MSN Messenger.
Windows Messenger will continually try to make an out going connection while running.
I stopped and disabled it, but I know it is also part of the .NET platform.....still trying to track it down there!
ZoneAlarm is very good about telling you which way the connection atempt is going...and when out-going, which process is performing it and on what port
(That's why I like ZoneAlarm more then ALL the other software firewalls.)