Strictly speaking it's the not Microsoft's fault - the ability to deliver messages that way is built-in for network administrators to use. Unfortunately we live in a society where some people think it's cool to go abusing the system, and in this case confusing the hell out of computer users by deliberately amending the title of the window that appears on your screen.
Out of interest BEagle what version of MSN Messenger did you have - the proc I write is for #5 so I guess they must have the changed the layout of the settings panel?
touch&go - I was assuming that you meant the built-in Windows firewall - which I heard is not very good/strong. I am not familiar with the one you have but I can only think that there is a setting somewhere in it that needs amending to close a backdoor of some sorts. You could try
Symantec's security check to see how tight your current definitions are.
Cheers