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I try this command to my own laptop and it's a success. Here is the code:

msg /server:mylaptopname *

then I type the message, and it's success. But, when I change to my friend's it doesn't work. Anyone know the reason?

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Can you provide more details? From where are you trying to send your message. To which OS? What kind of network. – M'vy Jun 9 '11 at 7:52

The other PC would need to have the Windows Messenger Service running, and would need to receive messages coming in on network ports 135, 137, 138, and 139.

That service was disabled in Windows XP SP2 and later versions, because it was so often used by people elsewhere on the internet to display pop-up adverts and scary inducements to install malicious software.
And potentially, any service running on those ports could be vulnerable to a buffer overflow attack, which might allow a hacker to take over the system.

Even with the Messenger Service running, those ports are probably disabled by the firewall on your friend's PC, and may also be blocked by the firewall software on your laptop to prevent you sending the message.
There's a good reason for this: apart from nuisance of having random popups appear, your PC (and your friend's) are more vulnerable to attacks if these ports are left open.

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and if you aren't on the same LAN but trying to do it over the internet you probably won't achieve much – datatoo Jun 9 '11 at 11:53
msg uses Terminal Services RPC, not Messenger service (which is for net send). – grawity Jun 9 '11 at 21:53

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