It sounds like you are getting spam on Windows Messenger Service
The Windows "Messenger Service" is being exploited to spray the Internet with unsolicited commercial eMail. The receipt of a single UDP packet can cause a "Messenger Service" dialog to pop-up on the user's screen. It is possible for the sender to "spoof" (falsify) the packet's "Source IP", making these packets impossible to trace back to their origin................
Windows Messenger Service
The first thing to understand is that the Windows Messenger Service is completely different from, and not in any way related to, "MSN Messenger", "Windows Messenger", or any other well-known instant messaging system. Therefore, disabling the Windows Messenger service will have no effect upon your use of any other instant messaging applications. They will continue to work without trouble.
To block the spam is to turn off Messenger Service.
To do that:
--In Windows XP, click Start>>Control Panel
--In Windows 2000, click Start>>Settings>>Control Panel
In both versions:
--Double click Administrative Tools
--Double click Services
--Double click Messenger
--Under Service Status, click Stop
--In the box next to Startup Type, select Disabled
Alternatively, you can download a small program that will disable Messenger Service for you Called Shoot The Messenger. It's available at: http://www.grc.com/stm/shootthemessenger.htm