You need to disable the Messenger service. The following instructions vary a bit depending on exactly how you have XP setup, but it should be fairly obvious what to do:
Click Start, Settings, Control Panel
Click Performance and Maintenance
Click Administrative Tools
Double click Services
Scroll down and highlight "Messenger"
Right-click the highlighted line and choose Properties.
Click the STOP button.
Select Disable in the Startup Type scroll bar
Click OK
That should do it.
TG.