ooooops
maxell ... small POI - You appear to have the Messenger service confused with Windows/MSN Messenger programs. Despite their similair names, they are unrelated.
Disabling the Messenger service (Start,Run, Services.msc, OK) will suffice for blocking those types of ads, having Windows/MSN Messenger programs installed will make no difference.
Not meant in a nit picking type of way, its just I've seen the same advice posted many times elsewhere, and the confusion appears to be contageous (sp?)