When carrying out a clean installation of Windows XP I
got messages purpoting to come from Microsoft referring
me to www.sp2.cm and www.windowspatch.com. Are these
sites genuine?
Open Help and Support and search for "firewall". This will tell you how to enable XP's built in firewall. If you have a valid reason not to use a firewall, click Start, Run and enter SERVICES.MSC Locate the Messenger entry and double click it. Set it to Stopped and Disabled.
However, the reason they can get to the Messenger Service (not to be confused with Windows Messenger) in the first place, is that your internet connection is not secure.