Thanks for your reply TETENAL.
OK, I managed to delete the dmg-file, but it seems I am not allowed to delete the diskdrive-icon. I can choose "eject" if i right-click it and the trashcan is changed into an eject-icon.
But I can only eject it when MSN is not running. When I thereafter opens MSN again, the Messenger disk-icon reappears!
How do I avoid that?