To get rid of it,turn off the messaging service.
Windows 2000 and XP:- Go Start/Run, type in services.msc. Double-click on Messenger and in the Messenger Properties window, select Stop, then choose Disable as the Startup Type. Click OK.
Windows 95, 98, and ME:- Control Panel. Addd/Remove, Windows Setup, System Tools.
Click Details, Uncheck WinPopUp, Click OK.