Not sure but have you just reformatted recently.
When reformatting Windows messenger 4.5 or whatever it is is usually downloaded as well with XP.
I believe you can find it in Windows Explorer but I may have got that wrong.
Just a matter of opening it and set it not to run at start up or you may find it in msconfig and untick it from there.
It can be removed but years since I did it and cannot remember how.