As far as I know the option is always 'absent' with AOL - from the little I have read about it a workaround is available but it is neither 'clean' nor very effective.
The simple solution would be to obtain a standard firewall package such as Norton Personal Firewall or Internet Security or the McAfee or Zone Alarm equivalent, whichever takes your fancy.
I do know that you still have to go through the procedure as described in the Microsoft link I provided somewhere above, if you wish to get rid of the 'messenger' messages.
Which leads me to the following question:
I was more than happy with my Norton Internet Security (NIS) Firewall running on XP Pro until this recent Messenger pop-up plague, against which it seems ineffective. .....Why??? .....
I don't claim to be a network whiz at all - but from my ltd knowledge I understand that NIS lets these messages through as they were intended to be administrative messages sent by a network manager to the users to announce outages/changes to system etc..
The messages you are getting have nothing to do with Microsoft Windows Messenger or the equivalent thereof - the wording is there to confuse on purpose - for instance, the very same thing happened to me when someone downloaded Yahoo messenger on my machine
hth