You are joking...
This is one of the oldest and most retarded oversights on Microsoft's part ever
Start->Run->"services.msc"
Find the "messenger" server, right click->properties on it, set startup type to Disabled, and click Stop, then click Ok.
Here is what is happening:
Infected computers/computers at a company are scanning random IP address ranges and sending Windows Messenger (nothing to do with MSN Messenger) messages to them. Apparently, you are not behind any sort of routing device (or you are and have all your ports forwarded, and you're not on SP2...), so their traffic is getting to your computer just fine.
I sincerely hope you did not install off of a pre-SP1 disc, because the average time for a < SP1 installation of XP to get taken over remotely is under 3 minutes now. You may want to reinstall behind some sort of device that won't allow external connections in (router, another computer with a firewall, etc), then:
1. Run Windows Update
2. Reboot
3. Go to Step 1 (repeat about 500 times)
... until Windows is fully patched.