Does the window title say anything about Messenger? If so, you need a
firewall. 'Messenger spam', is not in itself harmful, but is symptomatic of
a larger problem - your computer has ports open from the Internet.
You can disable the Messenger service, but that is unwise as a solution as
you'll still have the underlying problem that caused you to get the messages
in the first place - consider the messages a useful warning that you have no
protection from the Internet. This is all too important now, given the
recent rash of RPC worms....
For a standalone machine, see
www.sygate.com for a free personal firewall,
or if using Windows XP, you can enable the built-in internet connection
firewall (ICF).
See
http://securityadmin.info/faq.htm for more info.
**** For browser popups, try
http://toolbar.google.com - it stops them and
is also just basically cool stuff.