Most of the "grey" pop ups are caused by Windows Messenger service (which has nothing to do with MSN or other IMs) this should be disabled anyway, it is basically M$ spyware.
If I recall this service is disabled by default with the SP2 upgrade but I may be wrong, best way to ensure that it is is to go to -control panel/ performance and maint/ administrative tools/services.
Look for "Messenger" and make certain it is disabled.
Again this has nothing to do with MSN or other Instant Messengers.
Another program that I recommend installing is Spyware Blaster, it will help prevent this stuff from getting into your computer, it wont scan and remove what is already there but helping prevent the software from installing is a little more piece of mind.
Use Start > Run > services.msc
Find the "Messenger" service, right click on it, if it says "Started" click "Stop" goto "Properties" Under the "Startup Type" box, set to "Disabled" click "Apply" Job done.
On my machine, I have the following services killed off also....
Alerter
Error Reporting
Indexing
NetMeeting Remote Desktop Sharing]
Network DDE
Network DDE DSDM
Performance Logs and Alerts
Portable Media Serial Number
Remote Desktop Help Session Manager
Remote Registry Service
Smart Card
Smart Card Helper
System Restore Service * - Only disable if your confident you don't need it!!!!
Uninteruptible Power Supply
Upload Manager
WebClient
Windows Time
WMI Performance Adapter
Hope this helps,
Paul.