There is problem related to the Messenger Service, if you are running
XP. Apparently it was developed to allow the broadcasting of messages
across an network. The spammers have found a way to harness this
messenger to broadcast general ads across the internet. I think it
will cause a popup without Explorer being loaded.
A friend was having this problem with porn messages popping up, and
simply enabling the built in firewall of XP stopped the messages. The
best way is to turn off the Messenger service. Go to Start/Control
Panel/Administrative Tools/Services and go down the alphabetical list
til you find Messenger. Right click it and select Properties from the
popup window. Look under Startup Type and change it to Disabled.
If it's not any of the above, it's most likely some kind of Spyware.
Besides the spyware removal software suggested in another reply, try
Adaware from Lavasoft and Hijack This. They are both freeware. Hijack
This will show you software running in the background that is often
inappropriate (ie. uninvited). Also, look in the Hijack Log under the
Run keys of HKLM and see if there's anything set to start
automatically that shouldn't be starting. You'd be surprised at the
junk that gets loaded by software installs.
As a general rule, be very wary of software that is offered for free.
A lot of it is legitimate and good; like Adaware, Hijack This, and
Proxomitron (internet filter). Many advertisers are sponsoring free
software so they can get their ad trojans on your computer. I go by
the old adage that if it's too good to be true, it probably is.