It's not a program... You can do it through telnet or netstat... Real easy and simple... But Annoying to get rid of it for different OS read below....

Disabling the Messenger Service
To remove the ability for anyone in the world to pop up messages on your computer, you can disable the Messenger service. Its easy to reverse at a later time if you wish to do so.



Windows 2000
Click Start-> Programs-> Administrative Tools->Services
Scroll down and highlight "Messenger"
Right-click the highlighted line and choose Properties.
Click the STOP button.
Select Disable or Manual in the Startup Type scroll bar
Click OK


Windows XP
Click Start->Control Panel
Click Performance and Maintenance
Click Administrative Tools
Double click Services Scroll
down and highlight "Messenger"
Right-click the highlighted line and choose Properties.
Click the STOP button.
Select Disable or Manual in the Startup Type scroll bar
Click OK


Windows NT
Click Start ->Control Panel
Double Click Administrative Tools
Select Services-> Double-click on Messenger
In the Messenger Properties window, select Stop,
Then choose Disable as the Startup Type
Click OK

Windows 98 & ME
Windows Messenger Service cannot be disabled