As I understand it, Messenger is a 'great' marketing tool as it neds no spyware alongside - so scanning with Adaware or Spybot Search and Destro will not throw anything up.
Even if you were to install something like Shoot The Messenger, which stops these adverts, the fact is that you will still be targeted for adverts as the advertiser sends them out to anyone oneline in the hope of hitting a target.
You might want to run the three programs mentioned to see if there is any benefit anyhow:
Spybot: click here
Ad aware: click here
Shoot the messenger: click here 0,fid,23016,00.aspom/downloads/file_description/ 0,fid,23016,00.asp