I just realized that Windows Live messenger cannot be minimized to system tray on my Windows 7 Professional.
In fact, everytime when I closed it from the task bar, I actually closed the application :|
After some research, the solution is pretty straight forward.

Right click the Live Messenger icon and make it run in Windows Vista compatible mode. That’s all.

Hope this helps.

How To Minimize Windows Live Messenger Into System Tray

How To Minimize Windows Live Messenger Into System Tray