There is a type of spam that has become quite common over the past
few months, and unintentionally serves as a valid security "alert." It
demonstrates that you haven't been taking sufficient precautions while
connected to the Internet. Your data probably hasn't been compromised
by these specific advertisements, but if you're open to this exploit,
you may well be open to other threats. Install and use a decent,
properly configured firewall. (Disabling the messenger service, as
some people recommend, only hides the symptom, and does nothing to
secure your machine.) And ignoring or just "putting up with" these
messages and the problem they represent is particularly foolish.
Messenger Service of Windows
http://support.microsoft.com/default.aspx?scid=KB;en-us;168893
Messenger Service Window That Contains an Internet Advertisement
Appears
http://support.microsoft.com/?id=330904
Additionally:
Blocking Ads, Parasites, and Hijackers with a Hosts File
http://www.mvps.org/winhelp2002/hosts.htm