Get rid of "Local Area Connection A network cable is unpluged" or MSN-Messenger icon in your System Tray

Right Click on "Start" Menu
Click "Properties" Tab
Click "Taskbar" Tab
Click "Hide inactive icons" if not Checked
Click on "Customize" Button
Click the Notification item you want to change under Current Items
Select "Always Hide" behaviour under the Behavior column

Click "Ok" and then click "Apply".