In Windows 7, unlike in Vista, the Messenger icon does not stay in the Notification area, but in the central part of the taskbar.
Most will find this behaviour quite useful as it allows users to do various Messenger functions like changing status, sending IMs, etc easily.

But if you dont like this behaviour and if you’d like its icon to stay put in the notification area (what some people refer to as the system tray) you can do so as follows:

Close your Windows Live Messenger, right click and open its Properties box. Set the application to run in Windows Vista compatibility mode.
Thats it!
If you have liked this post, you might want to check out some more, on topics like Messenger, Notification Area, Taskbar.