Startup message (very worrying) invloves "HKEY" !?

From: lydz (lydz_at_discussions.microsoft.com)
Date: 11/28/04 

Date: Sun, 28 Nov 2004 06:53:02 -0800

When I log into my computer, I get a box that says:

An important entry has been ADDED to the registry!
HKEY=HKEY_CURRENT_USER
PATH=Software\Microsoft\windows\CurrentVersion\Run
NAME=MSMSGS
DATA="C:\Program Files\Messenger\msmsgs.exe" /background

Allow this registry entry?
(Yes to allow, No to delete Key)

You cant click the Exit button at the top right for some reason and can only
click YES or NO. If you click NO then the messege keeps and keeps on
reappearing and this is very annoying. Can anybody help me get rid of this
and can anyone explain to me what it is and what it means?

Thanks in advance,