Look up NET SEND on google.com but you should learn in your research this was disabled by a later service pack due to exploits and spam. You can however re-enable it and allow it if you so choose.
I worked for a company once where I was able to send a message to a persons computer screen wherever they were logged in...and I don't remember how to do it. Is there a way to do that with XP? We don't have an IM programs at my current company but I thought it might be possible without it.