Hello, I have experienced the same annoying pop-up on two new computers now and I need your help!! I have installed and used ad removers and it doesn't get rid of it.

The type of pop-ups are similar in structure. They are grey dialog boxes with a single button on the bottom - which just closes the pop-up out.
This is not a website pop-up - at least it doesn't look like one - and what it normally displays is just text with that button. One example is

"Hi my name is Karin, I am 24 years old and I have come to England and just studied Computing and have set up my webcam which I would like you to see - go to www.karinsite.com and you can see me!"

There will be an "OK" button at the bottom which closes the box down.

Although these seem to do no harm, does anyone know how to get rid of them?

Grey Box popups normally want you to pay to have the exploit removed and provide a link to a couple of companies that charge thirty bucks to take care of the problem. Have you turned off messenger by using the control panel> administrative tools> services> scroll down to messenger and select properties and disable it, click apply and ok to exit( I use the classic mode for my control panel settings, Xp mode is a little different). This has nothing to do with MSN, it is for administartors to notify everyone one their network of a change, etc. No average user has any need for it. Tools to disable it are provived by Adaware as a plugin and Steve Gibson at Gibson Research offers a tool called "Shoot the Messenger".