I don't want to connect to messenger automatically when I click on the internet icon..how do i control that?

I've tried to adjust this in messenger preferences and privacy options and its not working. I don't want to connect to Messenger automatically...I don't want to connect to messenger automatically when I click on the internet icon..how do i control that?
When the messenger opens, click on setting %26gt; advanced on the messenger and uncheck the box for ';starting automatically when openning internet.';