That is messenger spam.
The same type of miscreants who screw up your computer with popups and other malware have figured out how to use Messenger Service (not to be confused with AOL IM or MSN IM or ICQ or whatever) to spam you.
This Messenger Service was created for network administrators to message computers on their lans. You do not need it running.
The best thing to do is to shut it off.
Messenger (not to be confused with MSN Messenger, AOL IM or any other internet messenger) was originally created for system administrators and users to communicate with other users on large networks.
Spammers have figured out how to send spam with it taking advantage of exploits on your computer.
What you describes sounds like
Windows Messenger Spam
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 called “Shoot The Messenger” which is available athttp://www.grc.com/freepopular.htm
Download and run “Shoot The Messenger”, which will disable Messenger Service.