You may have Windows messaging turned on (Not MSN).
A simple Google search for "Windows Messaging" produces this:
http://www.microsoft.com/windowsxp/using/security/learnmore/stopspam.mspx
If it isn't Windows Messaging, you may have virus or adware problems.
I assume you have up-to-date and actve antivirus (AVG Free is pretty good, but you neeed minimum XP with Service Pack 2- check out
http://free.avg.com/ww.download-avg-anti-virus-free-edition
Reserve a fair amount of time for the scans. Down load, install, UPDATE and run Adaware (Google search for it) and "Spybot Search and Destroy"
If you have real problems, check out HijackThis
http://www.download.com/Trend-Micro-HijackThis/3000-8022_4-10227353.html
and read howto use it at
http://forums.whatthetech.com/forums.html
John
August 2008