The area where the time is displayed is refered to as the notification area.

You can get rid of the messenger icon by right clicking on the icon and
clicking "Exit". You can prevent Windows Messenger from launching at
Windows startup by turning that option off in the applications Tools
menu. You may also want to disable launching the messenger when Outlook
Express (OE) launches by turning that option off in OE's menu.

The Security Alert icon should go away when you resolve the security
risk to your system. You can configure security alerts in the window
that opens when you double click the Security Center icon in the Windows
XP Control Panel.