Do a search for windows messenger service. I forget the web page, but I remember seeing several sites that explained how to turn that off, just can't remember how I did it.
The messenger service was supposed to be a tool for network administrators to send users a message i.e. to say "log off now-- network going down for repair" in the case your network at work was going down and you were employed by a company with hundreds of employees and the network guys needed to let everyone know quick.
But leave it to the internet freaks to find a loophole.. Sites can "ping" IP addresses and if your computer does not have that message channel off,, you get a nice ad.