its kind of hard to get a true defintion of the differences between the two messengers as they are very different. Why you have pictures that look remotly like windows messenger service in your MSN messenger directory I have no idea. To really understand the differences you have to realize that to use MSN messenger you have to log on to MSN's messenger service. This is done with a program that meets the MSN messenger protocall below (MSN messenger, trillian, everybuddy). To utilize Windows Messenger service all you need is a good understanding of the NET command and its console line options like send and a few others. This is described below in the link to net send.
MSN messenger protocall:
http://www.venkydude.com/articles/msn.htm
what microsoft has to say about messenger service spam:
http://support.microsoft.com/default.aspx?scid=kb;en-us;330904
(cuts ands pastes from what microsoft has to say)
CAUSE
This issue occurs if you are sent anet send message by someone who is using the Messenger service in Windows. The Messenger service is a Windows service that transmits net send messages and messages that are sent through the Alerter service between client computers and servers. For example, the Messenger service can be used by network administrators to send administrative alerts to network users. The Messenger service can also be used by Windows and other software programs. For example, Windows may use it to inform you when a print job is completed or when you lose power to your computer and switch to a uninterruptible power supply (UPS). Your antivirus program may use the Messenger service to send you notifications. The Messenger service is not related to your Web browser, e-mail program, Windows Messenger, or MSN Messenger. This issue may occur if the following conditions exist:
The Messenger service is started.
The Remote Procedure Call service is started.
Inbound NetBIOS (NetBIOS over TCP/IP) and UDP broadcast traffic is turned on for your Internet connection.
RESOLUTION
To resolve this issue, install or turn on a firewall that blocks inbound NetBIOS and UDP broadcast traffic. The method that you use to resolve this issue depends on your operating system and how you connect to the Internet. The following sections provide examples of several different configurations and possible methods of resolution.
If you are running Windows XP and connect to the Internet directly (by using a cable modem, a DSL modem, or a dial-up modem, for example), install Windows XP Service Pack 1 (SP1) and turn on Internet Connection Firewall (ICF). By default, the installation of Windows XP SP1 allows Internet Connection Firewall (ICF) to block all incoming traffic (unicast, multicast, and broadcast).
WORKAROUND
To work around this issue, turn off the Messenger service. To do so, follow these steps:
Click Start, and then click Control Panel (or point to Settings, and then click Control Panel).
Double-click Administrative Tools.
Double-click Services.
Double-click Messenger.
In the Startup type list, click Disabled.
Click Stop, and then click OK.
microsoft says this about using net send:
http://support.microsoft.com/default.aspx?scid=kb;en-us;168893
more info on the spam windows (less detailed than microsoft but probably easier to understand)
http://www.itc.virginia.edu/desktop/docs/messagepopup/