Not sure why AIM would pop up, msn messenger does and there is a setting in options/general/Automatically log on to Windows messenger. Could that maybe be the setting you are looking for, I had similar problems with Outlook. Hope that helps.
Are you using dial up, or broad band. If its dial up, then I think AIM opens when it detects you are on the internet. Dialing up and connecting to your mail account may be causing to think you are on the internet.
Thats the only thing I can think of. Eighter way, there should be a setting to stop AIM from auto opening.