clean32.com is listed as a malware site here.
http://www.viruspool.net/hits/2006-12-12.txtIt appears to be related to getting a user to download Registry Cleaner, a rogue program that claims to fix registry problems. One of the obvious signs of smitfraud is a fake warning alert that entices you to go to another site to download a program to correct the problems identified by the warning alert. However, the link you are getting is an executable to download a setup file.
If the message alert on the title bar says Messenger Service, it could be spam provided by the Messenger Service but just the same the link is leading to malware so clicking any links should be avoided. In this case it would be best to "
Disable the Messenger Service in XP"
If the alert was coming from a flashing icon in the system tray that generates balloon messages or in the middle of the desktop, then the user is probably already infected and would need to follow the self-help guide
How to remove Registry Cleaner.