No, Windows Messenger will definetly not be the problem. This just stops people sending messages to your comp for advertising, and would not be the source of the problem.
This is definetly weird, and I've never heard of this before. I'll do some research and get back to you.
EDIT: It could easily be a virus that you've got from somewhere without knowing.
Have you got an up to date antivirus? Spyware remover?
If not go here:
It runs a free scan on your PC, and tells you what you have at the end, but then you need to delete them manually. But it tells you in easy steps.
Hope this helps