Some pop-ups, such as the one pictured below, come through the Windows Messaging service.

If you’d like to disable this service, you can do so manually:

1. From your Start menu, go to Settings > Control Panel > Administrative Tools> Services.
2. In the Services window, select "Messenger" and "Stop" or "Disable".

The Windows Messaging Service is only supported by Windows NT, Windows 2000, and Windows XP.