Yep. When your smoke alarm goes off, you can either take out the batteries,
or go look for the fire. The former may leave you dead of smoke inhalation
sometime.
'Messenger spam', is not in itself harmful, but is symptomatic of a larger
problem - your computer/network has ports open from the Internet.
You can disable the Messenger service, but that is unwise as a solution as
you'll still have the underlying problem that caused you to get the messages
in the first place - consider the messages a useful warning that you have no
protection from the Internet.
For networks, I like
www.sonicwall.com For a standalone machine, see
www.sygate.com for a free personal firewall. Not the greatest thing since
sliced bread, as you get what you pay for, but certainly better than
nothing.
See
http://securityadmin.info/faq.htm for more info.