I can´t close down messenger

When I try to close it down a message tell me that a
program is using it and that I must exit it first, but no
other program at all is running, at least no one that
appears in the task bar, and the error still annoying me.
How can I know what program is using messenger?.
How can I exit that program so I can close down messenger.
Why the message do not point at the culprit.
xp home in a compaq
I'll really appreciate your help.