Probably Windows Messenger....turn it off like so:
Windows XP Home
Click Start->Settings ->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 XP Professional
Click Start->Settings ->Control Panel
Click Administrative Tools
Click Services
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
If this doesn't pan out, sweep the machine for spyware/adware...SpyBot is a solid option: