Windows ships with the Messenger instant messaging (IM) software. I, too, use Messenger, along with ICQ that I have even been using for a much longer time.
A while ago I found out that my Messenger was taking ridiculous amounts of CPU time, slowing down the entire system. It appears that it was because of (some of) the advertisements that the main view displays so I started looking for another IM software and found Pidgin. It is a lot faster than Messenger and does not display any advertisements. It also supports multiple IM protocols, i.e. you can use both ICQ and Messenger using the same piece of software. Google Talk and many other protocols are supported too, so give it a try. :)
PS. Related to alternative software: a month ago I wrote about alternative web browsers!