Windows XP by default has the Messenger service disabled.
You need to enable this for “net send” messages to work.
Also, if the built-in XP firewall is on, this will will prevent messages as well. It operates on UDP port 1026.
The jury is out as to whether this is a useful service or not – a lot of home users were getting “Messenger” spam pop-ups when connected to the internet. However it is a useful tool to quickly notify the users that a server needs to be rebooted etc.
Hope this helps,