I'm posting this for myself as much as anyone. I always hated the fact that I can't remove Windows Apps because they are hidden from Add/Remove Programs. This little trick will take care of that.
Edit SYSOC.INF file, which is located in the C:\WINDOWS [or your Windows XP directory]\INF folder. Open it with Notepad.
Under the [Components] heading, you'll see a whole bunch of parameters for various Windows applets. Some of them contain the word "hide." Those particular programs, which include Windows Messenger (msmsgs), Terminal Server, Pinball, and others, are installed on your XP system, but their entries are hidden from and Add/Remove dialog.
To remove Windows Messenger, edit hide out of the line that reads
msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,hide,7
so that it looks like this:
msmsgs=msgrocm.dll,OcEntry,msmsgs.inf,7
Save the file, close it, and open the Add/Remove Program applet. Click on Windows Components button and you'll see Windows Messenger listed. Uncheck it and click Next to purge that silly program from your system.
Feel free to edit hide everywhere it appears in the SYSOC.INF file to reveal other removable Windows XP components.