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Choose "All Tasks" and finally "Send Console Message..." You probably didn't know any of that was there, and neither do most people.
It's a never-used feature that has been replaced by the various well known, popular, and feature-rich instant messaging systems.
That means that an Internet server must be running in the computer to service the incoming messages.
The entire industry is still learning the hard way with Code Red, Nimda, SQL Slammer, and the never exploited (yet) UPn P vulnerability that leaving unneeded and non-maintained open servers running on the Internet is a bad and dangerous practice. What's worse is that, out of the box, Windows does this to end-user consumer machines.
Then under "System Tools" right-click on "Shared Folders".
The button near the bottom of its window will allow you to set the service to whichever state running or disabled that you desire.
If, for any reason, you should ever choose to re-enable the Windows Messenger Service, simply re-run Shoot The Messenger to do so.
But, like a great many other "legacy" features of Windows, since it was once included, it survives in case anyone who once used it might still need it.
Several considerations make this something of a problem: For network messages to be received, the receiving machine must open a port to actively listen for incoming network packets.