Woff1965..........
With all due respect to Big Red 'L' and BEagle your problem has nothing to do with "Windows Messenger" the messaging application, but "Messenger", the net send alerter service. .....confusing, I know!
Like many I was reluctant to turn it off at first, in case I was running any programs that might be dependant on it (unlikely in the home enviroment).
I quote the following regularly but happily, because I know what an irritant it is. It also covers the dependencies issue. It is the answer and will work.....
Courtesy of "Ask Jack"/GuardianUnlimited Online, I quote.....
".....Many people are suffering from pop-up advertising messages that arrive via a low-level messaging service that is part of all NT-based versions of Windows (NT/2000/XP). It has nothing to do with Windows Messenger, MSN Messenger or any other messaging application.....
.....You can turn off this messenger service yourself, in one minute. Log on to Windows XP in administrator mode, go to the Control Panel, and open the Administrative Tools folder. Double-click the Services icon, and scroll down the Name column until you get to Messenger. Double-click Messenger to get the Properties sheet (or right-click it and select Properties), and then click the Dependencies tab. The lower box should be empty, which is to say, nothing depends on you running Messenger.
Go back to the General tab and look for the Service Status section. If Messenger is running, click Stop to stop it. Next, go to Startup type and click the down arrow on the right. Clicking the arrow lets you select Manual or Disabled, and you can select either. If Messenger has no dependencies, select Disabled and click OK to finish. You will not get any more Messenger pop-ups."