You do realize that Windows Messenger only ever shipped (and died for that matter) with XP? Small wonder that little command doesn't work in Windows 7.
In Windows 7 (and Vista for that matter) the only way to get Windows Live Messenger (previously known as MSN Messenger) is to either have installed it yourself, or it came pre-loaded on a pre-built computer (Dell, HP, etc).
I didn't get a problem until today, but possibly they think they want to alert me through the messanger, and the problem did not start until they wanted to send me a message...
You can't get anything through WLM unless it is running and you are logged in. If you're getting WLM alerts and neither of those conditions are present, then I would start looking elsewhere for the source.