A common issue i have found with the Windows Live Messenger 
on Windows 7 is that it does with the system tray and remain working from the Taskbar.
However here is a simple workaround that gets it back to the System Tray.
1) Close all intenses of Windows Live Messenger.
2) Go to the Start Menu > All Programs > Windows Live > Right-Click on Windows Live Messenger. Select Properties.
3) Under the Compatibilty tab, tick Run this program in compatibility mode for: Windows Vista SP2. Then click OK.
4) Open up Windows Live Messenger. It should now be running from the System Tray.