That will be windows messenger, the one that comes bundled with windows.
Theres a way of getting rid of it if you dont want it.
Go to control panel, then click on "Administrative tools" then "services", then scroll down to the messenger(its in alphabetical order), double click on messenger and then in the middle of the box click on the drop down menu and hit "disable", this will then disable windows messenger so you wont get any crap pop up or automatic sign in
Your normal windows live will work, dont worry about that.