>Is there a way to remove the advertisement in Windows Live Messenger such as subscribing to something?

There are several ways to do this...
http://fileforum.betanews.com/detail/Clean_Messenger/1142298266/1

...one of the more popular ones is this one:
http://www.msgpluslive.net/download/

If you use the 2nd one there is an option upon install to NOT install the sponser app (don't install it).

Personally, I use Trillian Pro so that I can have MSN, Yahoo, ICQ, Yahoo, AIM, Jabber and GoogleTalk all in one client.
http://www.trillian.cc/

..and there are other clients like that which are 100% freeware, such as Miranda:
http://www.miranda-im.org/