There is another type of popup in Windows XP which is intended for the network to send notes and alerts to the users. This is being usurped by outside parties to send advertisements. It should be disabled. Go to the START menu and select PROGRAMS, ADMINISTRATIVE TOOLS, and then SERVICES. In the services window you will find a service called MESSENGER which you can disable by left clicking to select it, then right click on it and choose properties, and then select disable under STARTUP TYPE on the GENERAL tab window.
The Ms Messenger service is not related to the Internet Explorer browser and can function without a browser running. It also has nothing to do with an Instant Message type application. I believe newer releases of Windows XP default to this service being disabled.