Yes there is :P
I personally prefer the convenience of having it there in the taskbar, and really wish more programs would do the same, but if you want to remove it, all you have to do is go to
32bit: C:\Program Files\Windows Live\Messenger
64bit: C:\Program Files (x86)\Windows Live\Messenger
there, look for msnmsgr.exe, right click, go to properties. In the compatibility tab, select Windows Vista as the operating system for compatibility and when you next open messenger, it should minimize to the tray. Hope this helps! Also, credit to the original person who found this, I can't remember who =/
Windows Live Messenger - Taskbar or Notification Icon