If you are using latest version of Windows Live Messenger then you might not be able to minimize it to system tray if you are Logged In, and when you click on X button of close it will stick to your Taskbar and occupies your space.
If you wanna make space on your Taskbar and move WLM to system tray then here is a simple Patch which will do this work for you, WLM Tray Patch, is an portable tool which allows you to Patch the system file and then minimize WLM to your system tray.
Make sure you are running this tool as Administrator as it need to access your system file, otherwise it wont be able to patch your file.
If in future you wanna move to original state then just restore the file and you area done.