I just did this last night!
HOW TO: Disable Notification Area Balloon Tips in Windows XP
This involves a registy edit. It's easy to do, but registry editing can easily kill your PC (but you'd really have to be playing around in there).
Last night I found a site which created a patch that will do the work for you, but I can't find the link. I did find this site which shows how to disable it but I have not tested it.
PC Hell: How to Disable Security Alert Balloons and Notifications
Just google Disable Microsoft Balloons and you'll get pages of help.
-paul