Although I'm usually running Linux, from time to time I still boot into my Vista partition to install the updates and remind myself on what I'm missing out. And whenever I'm in Windows, the first thing I do is sign into Messenger.
If you're like me, and the ads in Windows Live Messenger drive you crazy, or you just like to hacks things, check out A-Patch. It allows you not only to remove the ads, but you can also remove and customize other parts of Messenger that you don't use either–cleaning up the interface considerably (see: list of features).
There's a few other tools floating around the internet that let you do basically the same thing, and if I recall correctly there are still ways to do it without any additional software at all. But I definitely like A-Patch the best, and it's not like you need to leave A-Patch running. You download it, load it once, and WLM is hacked until reinstall. Good stuff!
