Hi Debbie
Do these messages appear in windows with the title 'messenger service'?
If so you can shut down the messenger service which is being exploited by
the
spammers. To do that go into your control panel (switch to classic view) and
open administrative tools. Double click services and move down the list
until you see 'Messenger'. Double click messenger and change its startup
type to disable, click the stop button also and then ok.
You could turn on Windows XP's built in firewall to stop these messages
appearing (
http://support.microsoft.com/default.aspx?scid=kb;EN-US;283673)
rather than disabling the service which is Microsoft's recommended action.
Hope that helps
Mark