If you have a firewall you may be able to set to prevent if not you can disable the Messenger Service by:
Right-click: 'My Computer' icon and select 'Manager' Or Start> Settings> Control Panel> Administrative Tools> Computer Management.
* Open: Services and Applications
* Open: Services
* Open: 'Messenger' Service
* Click: Stop button
* Change 'Startup Type' to DISABLE
* Click OK to close everything.