This is a dark time for us online gamers. Amidst the PSN chaos, now it seems Xbox Live is going through there issues, though they're not anywhere near as troublesome as Sony.
The alert indicates that Xbox Live, the Marketplace and accounts are up and running, but there is a specific problem surrounding Modern Warfare 2 matchmaking. According to Microsoft, “users may receive potential phishing [corrected from “fishing” earlier] attempts via title specific messaging while playing Modern Warfare 2.”
As with all phishing attempts, the best solution is to either ignore incoming messages completely or ensure that you never provide any personally-identifying information to a message from an unfamiliar source — even if it appears to be “official.” Neither Microsoft nor Activision will request personal info from players — least of all via the Xbox messaging system.
If you want to stay super-safe, of course, simply don't play Modern Warfare 2 until the alert is resolved. I'm just gonna dust off my Super Nintendo and play some Super Metroid until these online debacles are sorted out.