That sounds more like a Windows Messenger broadcast message than it does a MSN Messenger error...

If so, stop the Messenger service by going into Control Panel, Administrative Tools, Services. In the window which opens up, scroll down to find Messenger in the list. Double-click on it to open the Properties for it, click on Stop, and then set the startup-option to Disabled. Click on Apply/OK, and voila, you "should" get no more of them...