It was only...a matter of time
It looks as if the spammers have finally caught onto the idea of using the Messenger service in Windows XP as the new media for their filth. I received one such piece of spam today (recent-ish install, forgot to disable messenger) and it appears I'm certainly not the only one.
The Messenger service (not to be confused with Windows Messenger) is nothing new, it's been around in versions of Windows NT since about v4 (maybe older). It's intended as a means of sending administrative alerts to other users on a LAN. Unfortunately since it makes no distinction between LAN and Internet, anyone can send a message to anyone who has the Messenger service enabled.
Messenger has been used for evil purposes in the past. Several years ago at an I-LAN which was held not long after Windows 2000 was released much havoc was wreaked by certain people who found it fun to message the entire workgroup (which can cause some games to effectively alt-tab out, much to the frustration of the person who was about to get that last frag to win the match). It was also used more recently to scare people into thinking that Microsoft were tracking their use of illegal software.
Since until recently NT has remained the domain of big companies and the more technically-minded users, no-one has really bothered to try using it for spam until now. Now XP is on the scene and has become widespread, it's a different story. Since there are so many WinXP users who have no idea what the Messenger service is let alone how to disable it, I can see this becoming a much more widespread problem.
The solution of course (under Win2k and WinXP) is to go into "Computer Management" (easiest way is to right-click "My Computer" and click "Manage"), go to "Services and Applications", then to "Services", scroll down to "Messenger" and double-click it. Change the "Startup type" to Manual and click the "Stop" button. Click Ok, and it's disabled. I'm sure you can figure out how to re-enable it for yourselves should you want to.
End public service announcement