Since April 22nd 2004, when MSN Messenger 6.2 was released, contacts who filled in their mobile numbers in Tools > Options > Phone will be grouped together as yellow MSN buddy icons under a new Mobile group. Just like the Online and Offline groups, you can NOT remove it by right-clicking its name and then selecting Delete Group.

But you can make the special Mobile contacts group disappear by unchecking Contacts > Sort Contacts By > Group Mobile Contacts Together. Those grouped under Mobile before will then appear in their original groups, EVEN when offline so pay attention before flooding their mobile phones with instant messages.