|It could be someone using the "Messenger" service to send hoax messages to your desktop. This service has nothing to do with MSN Messenger or Windows Live Messenger.|
The service was included for office network environments to send messages from one terminal to another, but it's also being used to send spam messages over the internet.
All home users should disable it (it's disabled by default in XP-SP2 & SP3). You can disable it this way:
Start >> Run - type SERVICES.MSC
Scroll down till you find MESSENGER
Set 'Startup type' to DISABLED
If 'STOP' button is not greyed-out, click it to stop the service.
If that service was being used for those pop-ups, you shouldn't get them any more.