This has bugged me for a while on Windows 7 and though Tim posted the answer a while ago in his bumper list of Windows 7 tips, I missed it until the Liveside guys pointed me to it.
Basically, Windows Live Messenger get a little freaked out by jump lists in Windows 7 so you end up with two Messenger icons. For me, the old icon in the system tray is better til they fix that and Tim found a simple way to make this happen.
….close Windows Live Messenger, edit the shortcut properties and set the application to run in Windows Vista compatibility mode. Bingo!