How to hide message window in MS SQL Server 2008?

CTRL +R

toggles (hides or shows) the Messages window.

You also can display results in a separate window as follows:

Navigate to Tools | Options | Query Results | SQL Server | [Results to Grid] or [Results to Text] Check [Display results in a separate tab]

Sometimes CTRL + R might not work. In such scenarios you can try: Tools -> Options -> Keyboard and then click Reset

Should work now.