Shoutbox

The most likely option is, someone on your contact list (or someone who knows someone who has the address you use for Messenger) is making random accounts to harras you for fun.
My advice is to make a new account and tell (or add) each of your contacts using your new address. If the problem ocours after a specific contact is added, or knows your adddress, you know that they are either directly or indirectly responcible.

Another, but more unlikely cause, is that some sort of trojan is running on your computer. Telling your address to a person (or more likely a bot), which is programed to harras you. If you already have a virus scanner use that to proform a scan, if not you can get a free one by clicking here.
However this is a much less likely cause, but still worth checking out.