Did it look like http://www.microsoft.com/windowsxp/p...e/stopspam.asp ?

If so it's a Messenger window. Go to Control Panel, Administrative, Services, and set Messenger service to Disable. Or go to a command prompt and try typing "net stop messenger" or something like that. Or have your firewall block ports 135, 137-139, and 445, according to one site. Any of those should work.