For me, the easyest way to enter checked and proved keys, is to create
simple text file in the Notepad editor. (Regedit is not very "userfriendly")
The text file have to be with extension REG.
(by the way, it is good thing to disable the option "HIDE FILE EXTENSIONS
FOR KNOWN FILE TYPES" - this way you have total control of the file name)
But if you want, you can add these keys in the Regedit.
===================
Browse the registry to
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft
If there is not present the key [Messenger], create one
In the key [Messenger] create subkey [Client]
Right click in the key [Client] and create two new DWORD Values:
"PreventRun"
and
"PreventAutoRun"
Right click and modify each of this DWORDs - enter 1
===================
Browse the registry to
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Outlook Express
Right click and create DWORD Value "Hide Messenger" = 2
===================
Close Regedit and you are done.

Wow, miss Keith, I am not a good teacher ;-)
I hope you understood me ;-)
The easier way for you:
1. Open Notepad.
2. Copy and paste this:

Windows Registry Editor Version 5.00

[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Messenger\Client]
"PreventRun"=dword:00000001
"PreventAutoRun"=dword:00000001

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Outlook Express]
"Hide Messenger"=dword:00000002

3. Save as "MessengerOff.REG" (in the Save as... dialog you have to change
the {Save as type} pulldown menu to ALL FILES)
4. Close Notepad
5. Double click the newly created file messengeroff.reg
(remember, the extension of the file must be REG, not TXT)
6. Answer YES to the question "Are you sure you want to import ..."
No more Messenger pains! ;-)
This long explanation made me hungry ;-)