Whilst I've never encountered this kind of problem in XP, I have in Windows 2000 and it turned out to be a worm (blaster or something like that) which hijacked the messenger service. At the time I thought it would be a good idea to connect a fresh install of win2k to the net to obtain the service packs which ironically contained the fix. When installed antivirus it detected it (as did the worm removal tool from microsoft).