Three words: Zone Alarm Pro. Or one word, if you perfer: Proxomitron.
There is also the Messanger service; is it enabled on your system (2K/XP only)? This is NOT the MSN Messanger instant messaging program, but a "service" the Windows runs in the background. A quick way to check is to open a command prompt and type:
net send 127.0.0.1 hi
If you get a pop-up, it's enabled. It can be disabled by going into control panel->Administrative Tools->Services.
I'm not sure if the firewalls block it; I always disable it right away. Keep in mind this is not a pop-up; a pop-up blocker will not block these, as it doesn't go through your browser. Rather, a web site grabs your IP address and attempts to send the message. It's sort of a poor-mans IM, if you will. The title of the window will (should?) always say "Messanger Service".