Wired News: Pop-Up Scam Beats AOL Filter tells us which ports to block to avoid annoying Messenger spam pop-ups on Windows:

AOL is not the only Internet service provider currently blocking all port 135 traffic. Many ISPs began filtering the port last month to mitigate the spread of the MSBlaster computer worm, Baldwin said. While AOL also could block UDP ports 1025-1029 to fully eliminate Messenger service spams, the big ISP likely is worried about the potential "collateral damage" such a move might cause to users with legitimate programs that require those port addresses, he said.