I am going to asume you mean the Messenger Service and not MSN Messenger.
On Windows XP/2000 you can turn off the pop messages by doing the following:
Start, click on run and type services.msc and click OK.
The Services MMC will open. Find the messenger service which should be set to automatic and started. Right click on the service and choose properties.
In the Startup Type change it to Disabled and click stop below that. This will stop the service and disable it.
Understand that by stopping the messenger service any message that is destined for session 0 of the console of that machine will no longer display those messages. Things like application popups that use the messenger services, system events and etc.
Another way to block such inbound messenger pop-ups is to install a firewall software such as blackice or zone alarm. Windows XP can block these messages as well using the Internet Connection Firewall (ICF). These firewalls you can block TCP and UDP ports, 135, 137 and 139 as well as 445 on Windows XP. This will block those messages from coming in .
Also, here is a Knowledge Base article that describes this behavior and how to control it:
Let me know if you have any questions, B.