See this MS KB article, which suggests Add/Remove programs, and has 
instructions for removing Active X objects.
http://support.microsoft.com/kb/q186161/
I found this with a Google Search, "Remove MSN Gaming Zone".

Larry Joubert wrote:
> Hi, there,
> 
> I am traying to get rid of MSN Gaming Zone, but up today I can not find the way.

> 

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