Windows has that built-in.
It's called messenger. Several years ago, people without firewalls would receive popups on their computer, even when IE was closed. This was caused by spammers using the messenger service to send messages to people just like the e-mail spam of today. The original purpose was for system administrators to send messages to users about upcoming network activity "Printer X is broken. Use Printer Y". Ever since the spammer attacks, M$ now has this service turned off by default. It's easy to turn back on but if your using XP SP2, you will need to allow the port through the firewall. I don't know what port # thiat is off the top of my head.