How do they make them pop up even when I'm not connected to the Internet ??

If you're talking about those plain gray text box type things, they use Windows Messenger Service, a Windows program that was designed for system administrators and such to use. Somebody at Microsoft left the back door open. They can pop up even when you're not online because they've actually written themselves to the Windows Messenger program on your computer.

HERE's more info including some on how to stop it.

Bruce