There is an MSN messanger file with the same name, but that is easily replaced. It's either related to the worm, or created by it. Delete it, look for a remover, etc.

Did you check in Regedit: hkey_local_machine and users: software\microsoft\windows\currentversion\run


Delete in there, and in msconfig as you said. Do this in safe mode if your having no luck. Scan computer in safe mode.