The latest version of Windows Live Messenger does not minimize to system tray when you press the minimize button, instead it sticks on the Windows 7 taskbar. In case you wanted to minimize the Windows Live Messenger to system tray, then you need to use the work around of using compatibility mode of Windows Vista. WLW Tray Patch is a simple portable freeware tool to patch Live Messenger to minimize it to system tray.
Just run the tool (make sure that you run the app in administrator mode, otherwise patching is not possible) and then click on the patch button. You can take a back up of the original file before patching, so that it can be restored any time. Once patched, if you need to restore it back, click the restore button.
Once patched, you can see Windows Live Messenger minimizing to system tray when you hit the minimize button.