That is malware you have managed to pick up.
XP2 blocks "windows messenger service" by default. If that is where the ad is coming from.
How to disable:
Disable the Messenger Service
Disabling the messenger service will prevent the possibility of an attack. You can disable the messenger service by performing the following:
1.
Click Start, and then click Control Panel (or point to Settings, and then click Control Panel).
2.
Double-click Administrative Tools.
3.
Double-click Services.
4.
Double-click Messenger.
5.
In the Startup type list, click Disabled.
6.
Click Stop, and then click OK.
Impact of Workaround: If the Messenger service is disabled, messages from the Alerter service (for example notifications from your backup software or Uninterruptible Power Supply) are not transmitted. If the Messenger service is disabled, any services that explicitly depend on the Messenger service do not start, and an error message is logged in the System event log.
You need to get Windows updated.