Digging around Windows Live Messenger “Wave 4” bits, looking for a way to turn off the permanently enabled SmartScreen-based link scanner, I stumbled on a flag that disables/enables the Aero window border.
If you’re interested in that sort of thing, navigate to HKEY_LOCAL_MACHINESOFTWAREMicrosoftWindows LiveMessenger and create the DWORD value AeroWindowFrameEnabled with its data set to 0 or 1.
For those on 64-bit platforms, don’t forget you need to tack on Wow6432Node after the Software node, or you’ll be fishing around in 64-bit waters. (Windows Live Messenger is a 32-bit process.)
Given how poorly this works (e.g. can’t move the window, no title bar), I’m guessing it’s unfinished or on its way out.