It sounds like an ActiveX component for downloading unsolicited crud like GAIN/Gator to one's computer, rather than a messenger service pop up. I think Kona (aka although all I think of is Legos when I see that nic) said before that he's running a firewall (at least I hope so) and if so it shouldn't be messenger svs pop ups.
Outside of tightening one's IE settings to disable ActiveX and scripts, one easy way to keep some spyware from being downloaded at all is to download SpywareBlaster. It blocks such things through placing killbits in the registry to prevent installation of specific spyware programs. So you don't have to add yet another running program to your PC in addition to pop up killers and whatever else you may have running. It's free and available here: http://www.javacoolsoftware.com/spywareblaster.html and there is also a support forum for it. All one need do is occasionally check for program or definition updates since new spyware or new methods are being introduced fairly quickly. Much easier to prevent an "infestation" sometimes than clean out afterwards. Again it's freeware although the author does accept donations. Just thought I'd suggest another no-resource-using preventative measure, not intended as a substitute for Adaware or SpyBot S&D.
As for where that thing is coming from, the purveyors of scumware are getting pretty sneaky, so it may or may not be from the site on which you saw it, depending where you were before. As KG previously mentioned their ad provider is not supposed to run such stuff here. So at least we know that WC doesn't approve of or willingly allow such adverts and downloads to be associated from this site. As long as KG is on the case this site at least will be checked out just in case the ad provider has lapsed from their agreement.
Glad I don't see that stuff at all, I might get click happy in an absent minded moment.
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