Tomkitten, there's a bit of confusion over "Messenger". You should take a look at these MSKB (Microsoft Knowledge Base) articles:
Disable Messenger
Spamming with Messenger
WinXP Firewall
If your your personal messaging client, the one you use for chat w/freinds, etc, such as MSN Messenger, Yahoo! Messenger, Trillian, ICQ, or AIM (yuck

) is not functioning properly due to a setting in your third party (non-MS) firewall, consult the firewall's "Help" documentation for the How To info you need.
Oh, and when it comes to free advice, take it with care; sometimes the product is worth what you paid for it, sometimes the ultimate cost is far more than the price, and sometimes its valuable. Consider the vendor's track record, always feel free to seek confirmation, clarification, and other opinions, and never take any action you don't know how to reverse on the basis of free advice