Yea this was an annoying issue for me so I looked it up in Windows Tech base and found something to get rid of them for good and it doens't require a firewall. Just simply remove them by stopping the service that they are using to spam you.
It's called Messenger and resides in your C:\WINNT\System32\services.exe
You can disable it by going to your My Computer Icon "right click"
select "Manage" then go under Services and Applications and double click or expand it then select Services and scroll down the right pane window to Messenger, right click it and select properties.
http://users.adelphia.net/~abblepc/messenger_spam.jpg
For the Startup type drop down the arrow and select Disabled.
This will stop it from loading the next time you boot your PC.
You don't need it unless you are part of a network that normally sends out admin messages to clients on the network.
This is just a built in tool used by admins and was incorporated by M$ to enable easier messaging to clients on Lan's or Wan's. Since then it was easilly exploited to send messages to PC users that have Win 2K & XP.
So the instructions I listed above are for XP and Win 2K.
Edit: Damn I hate when admins disable image posting...........
BF1942 Off-Topic 
New spam tool 
Grrrr 
Rawr!
Spammers deserve to die 
Linear Mode
