This is extremely disturbing. However, rather than repeat what Sandi wrote about the problem, its best for you to read it first hand in WARNING: Winfixer and Errorsafe being distributed via MSN Messenger banner advertisements. DiggIt here.
What I will repeat here is Sandi's strong admonition if you feel you still have to use MSN Messenger:
"I strongly recommend that all users of MSN Messenger ensure that their antivirus and antispyware applications are up to date. Do not click on any buttons in pop-up windows that you may see, and do not believe Web sites that report that they have found a problem on your computer - seriously, how the hell would they be able to tell?
Do not click on OK or Cancel buttons in the pop-up windows. Close the window using the red x close button.
I also strongly recommend that MSN Messenger users download and install Mike Burgess's HOSTS file to help block winfixer and other bad guys. You can find Mike's famous HOSTS file here: http://www.mvps.org/winhelp2002/hosts.htm"