I doubt anyone here would fall for this nonsense, but you never know. People are sending messages to other users playing Modern Warfare 2 and trying to phish for personal info. MS have a warning about it on the Xbox Live service status page: -
Xbox Live StatusUsers may experience difficulties with the following services:
Users may receive potential phishing attempts via title specific messaging while playing Modern Warfare 2.
We are aware of the problem and are working to resolve the issue. We apologize for any inconvenience this may cause and thank you for your patience.