Windows XP "Messenger Service" spam, spam that pops up in a window with the title "Messenger Service" in Windows, is common enough now that Microsoft has a popular page about it. Their answer for Windows XP users is to install Service Pack 1 and turn on their limited but still useful Internet Connection Firewall. Many more details, including how to turn off the Messenger Service (which should never have been left on by default in the first place) in their Knowledge Base article.

For third-party information, see StopMessengerSpam.com. They even show a screenshot of a full example on their front page, phone number and everything, which I'm sure the original spammer considers free advertising. (I wouldn't want a fake University diploma, or at least wouldn't pay money for one, but if I wanted one, the only place I know to find out how to get one is StopMessengerSpam.com.)