First of all, I'd like you to know and understand that this isn't a MSN Messenger feature. It's a Messenger Plus! feature. It's quite easy to turn off though, so don't sweat it.
Go to your contact list --> Plus! --> Preferences
click on Contact List
Untick Allow docking when the window is moved
click Apply, then OK (just to be sure the settings are saved).
Now just incase you're wondering why such a feature is included in Messenger Plus!, the only reason it's there is because it's a highly requested feature and a HUGE work_in_progress in terms of funtionality (Note: I'm not implying that this feature will ever be complete, I do not know if it will or will not.)
For those interested you can get Messenger Plus! at:
http://www.msgplus.net
