While you can disable the messenger service, which what the GRC utility does, the reason you got those pop ups is that you had a port open to the internet. (135, if I recall correctly). Some AV's apparently use the messenger service for their alerts telling you that they've found a virus so if you disable the service those might not work, depending upon how your AV works. And again, it's not the same as the MSN Messenger program. (The messenger service is intended to be used to broadcast messages *within* a network but since MS has it open as a server to the internet spammers found a new fun way to get those who weren't running a firewall to block the port.)
Are you running a firewall? If properly configured, that should block unsolicited communications from the internet. With XP's running services that keep ports open on the net it's a very good idea to run a firewall. Even if it's only XP's ICF or a properly configured router.