Microsoft Messenger Data

I managed to solve the initial problem of the Microsoft User Data appearing in my Documents folder, but now it's re-appeared with only the Microsoft Messenger Data folder inside it. I guess I forgot to do the whole thing while I wasn't using MSN.

Does anyone know how to solve this?

I'd prefer not having to use the Terminal and such, I'm not confident with it and might misunderstand some instructions and screw my computer up.