Make sure you have MSN messenger in your Applications folder. Did you drag it there from the disk image it came in?
Here's my guess as to what happened (I have seen this many times):
You opened a disk image containing messenger.
You dragged the icon from the disk image onto the dock.
You eject the disk image
You come back to the computer later and click on MSN messenger
Since the dock just contains a link to the file and not the file itself, it looks for the actual file (which it knows is inside your disk image) - it then mounts the disk image to access the file resulting in the drive icon on your desktop
If MSN messenger comes via an install program then I really don't have any ideas