In the default installation of XP, the Messenger service runs by default. Messenger in Windows 2000/XP is similiar to the functionality of what "WinPopup" was to Win3.x/9X. However, having this service running will cause problems in the very near future, as ANYONE can send popup messages to your computer when you have this service running. (The service doesn't check where the message comes from).
Don't believe it? At the command prompt, type "net send IPADDRESS_OF_CLIENT_TO_SEND_TO Your Message" and that person will get a popup window immediately with "Your Message" .. the popup window will says "Messenger Service" in the titlebar and will contain your workstation's name and the time. You can send a message to yourself by typing "LOCALHOST" to test this.
Another thing worth noting, if you are using a Microsoft firewall, these messages will still be sent through the firewall.
To make it so others cannot send these messages to you, disable the Messenger service from Services. (Go to Control Panel > Perf. & Maint. > Administrative Tools > Services. Double click the Messenger Service, change 'Automatic' to 'Disabled' and click the Stop button.) Once you've done this, people trying to send messages via the net message service will get errors. While you're at it, it might be wise to disable the 'Administrative Alerts' service as well.
The description Microsoft gives for this service is as follows: "Transmits net send and Alerter service messages between clients and servers. This service is not related to Windows Messenger. If this service is stopped, Alerter messages will not be transmitted. If this service is disabled, any services that explicitly depend on it will fail to start."