I install latest MSN messenger at my windows seven. I start MSN, and to close windows, I press X at top right of MSN windows.
After I close all windows of MSN, it appears to be somehow 'pinned' at my taskbar. It won't go to notification area where it used to appear when we close the windows.
If I right click at taskbar, and choose 'Close all windows', MSN will exit.
The solution is run MSN Messenger in compatibility mode. I Open MSN file location, right click, properties, compatibility tab, and choose Windows XP SP3. I then open MSN Messenger and close all its windows. And, it now appear at notification area.
You may choose compatibility mode with others, but it works for me at compatibility mode with XP SP3.