That would be due to the Windows Messenger (Not related to the MSN based one) Service, included in versions of Windows based on NT archetecture. It can be turned off by following this procedure.

1. Go to Run... in the Start Menu
2. Type in services.msc
3. Scroll down to "Messenger"
4. Right-Click it, and click properties
5. Under startup type, choose "Disabled"
6. Then restart your computer.

Those messages will stop appearing. But, some companies use programs that rely on that service being in operation if your computer is used for work. If it's just for your personal use, there should be no problem.