I love the background picture - great movie
Anyhow, I've never had the problem you just showed me, but I did a search for it and found a few sites that let you know how to stop them. Just keep in mind, it's not a virus, and it's not related to the Windows Messenger. It's an exploit of something in 2k and XP. There's two methods to stop them that I've posted. Both methods are safe and neither will effect the way your system runs or performs.
"It's important to note that these messages have no relation to MSN or Microsoft Messenger. Messenger service is used via the 'net send' command to send messages between networked computers. If you don't have network access or use the 'net send' command it's easy to disable the messenger service and eliminate the popup activity. For more information on the Messenger service, see Knowledge Base Article Q168893."
Method 1:
Disable Messenger Service
Click Start > Run and type "services.msc" (no quotes) in the Open: line and click OK
In the right pane, scroll down to Messenger.
Double click Messenger and click the General tab.
Under Service Status: click the Stop button.
In the Startup Type: drop down box, select Disable.
Click Apply and OK.
Method 2: (this works if you have a router or firewall)
Another method to rid your system of this annoyance is to block NetBIOS ports 135, 137, 138. and 139 through the firewall. Each firewall uses a different method of blocking ports. Consult the firewall documentation or website for information on the proper procedure.