Its a program called Messenger, used for advertising purposes mainly, but can hold links to bad pages with spyware. Anyone using the net can send them to any PC with it enabled.
Its not spyware though don't worry, and this can easily be turned off. It is also nothing to do with MSN Messenger or Windows Messenger and wont damage them:
1. Go to Start, Control Panel,
2. Click on Performance and Maintenence (if you dont have it on classic view) or Administrative Tools (if you do have it on classic view)
3. Double click Services
4. Then double click on the Messenger icon
5. In the General tab go to where it says 'Startup Type', and you can now select 'Disable'.
6. Then click Stop to stop the service, and press okay
This will now stop you getting those annoying messages
Hope this helps