There are few posts already published here related with MSN Messenger like Sign In to MSN Messenger with status as offline, not to show away status message and disable automatic sign on in MSN Messenger. Here are steps listed below to disable alerts when contacts come online.
1. Click on Tools -> Options menu
2. Select Alerts tab on the left hand side and un select the Display alerts when contacts come online checkbox to disable the alert message
3. Select Sounds tab on the left hand side and select Don’t play a sound radio option to disable the sound.