Display Name popup seen at every start of Messenger

I have recently reinstalled Windows XP SP3 (and all other software) after a
hard disk change. Windows Messenger 4.7 was working fine for me before this.

Now whenever I start messenger I have to enter a display name. After I
enter a name I get logged on OK. I have been into the options and can change
the display name there temporarily. However at the next start it asks
again. I installed 5.1 even though I was happy with 4.7 before and the
problem persists.
So somehow it forgets the display name between each logon.

I have searched previous posts and seen this probblem come up before but
never a clear answer.