The same thing is happening to me. I'm also on XP Pro and I keep having to shut down the Yahoo process that's taking up the least memory.
I found this on another site. It works temporarily, but seems to be no better than the method we're already using. To get to the place that's mentioned in the quote, you can click on the mail icon at the top right of the Messenger program.
"There's a messenger app on your mail page, so maybe that's it. You can go to Mail and click on the arrow in the upper left/hand corner, along side your name, scroll to Sign Out of Messenger and see if that gets rid of the second messenger in task mgr."