Take note of the title bar, the first line and the fact that it is only "flat text", with just an "OK" button.
Out of the box, Microsoft Windows NT, 2000, and XP systems allow anyone on the network to pop up messages like this on your screen. You do not need to be running any web, email, or instant messaging software. It has nothing to do with MSN Messenger, Yahoo Messenger, or any other application. There is no need for the sender to know anything about your computer and your computer doesn't care who does it. In recent incidents, people have used this capability to spread SPAM messages like the ones above.
You can disable the Messenger service if you want to although doing so may result in Windows not being able to alert you to some conditions. This may include things like "print job complete", anti-virus, and event logger status messages. Also, "new mail" notifications may not be available in an Exchange/Outlook environment.
When you are responsible for any kind of network, you should be aware of all the security implications of having a Netbios service available to the entire world. All it takes is one Pc that is infected to compromise your entire network from the inside.
If you have not already, block these ports usage on firewall:
Incoming & Outgoing (anywhere to anywhere)
UDP and TCP
Port list: 135, 137, 138, 139, 445
These ports are not needed and should be closed at once. Contact your
firewall vendor if needed.
If this has solved your problem you may wish to try a free scan to ensure there are no additional threats to your systems.