The Messenger Service, not to be confused with Windows Messenger, is used to send messages across a network or LAN. Spammers have found that they can exploit this to send messages to your computer, when you're connected to the Internet. However, the Messenger Service is not the problem. The reason that they can send these messages is that your Internet connection is not secure. The use of a firewall will stop these messages. For detailed information on Windows XP's built-in firewall, open Help and Support and search for "firewall".
To enable XP's built in firewall, Open Network Connections, or right click My Network Places and select Properties.
Right click the Dial-up, LAN or High-Speed Internet connection that you want to protect and select Properties.
On the Advanced tab, under Internet Connection Firewall, select one of the following:
To enable Internet Connection Firewall (ICF), select the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
To disable Internet Connection Firewall, clear the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
If you have a valid reason to run without a firewall, then you can disable the Messenger Service. Go to Start, Run and enter SERVICES.MSC. Locate the entry for Messenger. Double click this entry and set it to Stopped and Disabled.
Ad-Muncher will also take care of the problem with Messenger Service and many other pop-ups. You can even enable IP scramble on this magnificent pop-up program. (The best I've tested so far, and I've tested most of them).