You mean like "net send * Hello World"? The messenger service (different than Windows Messenger) allows users to sometime send annoying text messages. By default, it is running and active on Windows XP systems. Here's how to turn it off:
Open the Services window (services.msc).
Double-click the Messenger entry in the list.
Click Stop to close the service.
Select Disabled from the Startup type list to prevent it from loading automatically the next time Windows starts.
Close the Services window when you're done.
Firewalls also prevent this type of data from reaching your computer in the first place, but it certainly can't hurt to turn off the service anyway.
or you can also do this:
Then type the following "net stop messenger" after which you'll see "messenger service is stopping".
To start it again for any reason open the command prompt again (Start/Run/cmd.exe) and type "net start messenger"