To stop the Messenger Service (not to be confused with the MSN Messenger Instant Messaging Service), we need to go to Control Panel and stop the service. To prevent it from starting up the next time we restart the computer, we also need to disable its automatic startup. Here's how to do it:

If you are using a version of Windows other than Windows XP, click on Start, then click on Settings, then on Control Panel.
For Windows XP click on Start, then click on Control Panel.

In Windows XP there is a link on the left side of Control Panel window. If that says "Switch to Classic View", click on that. If the link says "Switch to Category View", do not click on it.

Click on the Administrative Tools icon in Control Panel, and then click on the Services icon.

Scroll through the list of Services until you see the Messenger Service. Click on the name to highlight it.

Right click on the name and choose Properties from the menu that appears. This is where we can stop the service and disable it.
Click on the Stop button, and then use the drop-down arrow next to Startup type to disable the service.

Click OK to close the Services window, and then close Administrator Tools and Control Panel. The messages that use this service will not bother you again