You have to disable the messenger service. Not just stop it, actually disable it so that it doesn't come back again on the next reboot.

Assuming an NT-based box, you do it under Control Panel/Services. Under Windows 2000, it's buried under the Local Computer Management widget somewhere. Under XP, I think you have to rub the Teletibbie's tummy three times sideways to get to the proper screen.

Keep in mind, though, that disabling the messenger service is a band-aid on a MUCH larger problem. The fact the message is appearing at all means that the PC in question is exposed to the internet in ways it should not be exposed. Put that machine behind a proper NAT firewall.