The "Messenger Service" was originally intended to allow popup messages in a LAN, like "The print job has finished" and stuff like that.
Of course, it's now been subverted to allow people on the Internet to send messages directly to your PC, - personally I don't need breast enlargement, if I wanted bigger boobs, I'd drink more beer !
Check the following URL for more info :
Messenger Service Window That Contains an Internet Advertisement Appears