The HOSTS file is found in:
Windows XP => C:\WINDOWS\SYSTEM32\DRIVERS\ETC
Windows 2K => C:\WINNT\SYSTEM32\DRIVERS\ETC
Win 98\ME => C:\WINDOWS
That file (named "
HOSTS.") is used for redirecting sites immediatly without DNS lookups.
By adding that line given by ME, the site rad.msn.com will be redirected to 127.0.0.1 (which means localhost/your own computer) so that it will prevent MSN Messenger to load the ads from the web.
But beware that every connection to rad.msn.com will fail, not only in MSN Messenger itself. This change is systemwide.
Also, it may not work in your case though as the site may have change in other MSN Messenger versions (cba to look up). Furthermore, the window itself for the ads will probably still be there (again, cba to look up).
For more detailed info about the HOSTS file see:
http://accs-net.com/hosts/what_is_hosts.html