Yes, I find this very annoying too. It was something I hoped Apple would fix with the vn 3 software, but this has made it 10 times worse. I used to get just one message. Now I get up to a dozen! When I switch on the phone I spend the first minute hitting the Dismiss button. Yes, I know the O2 signal is cr*p around here. Stop telling me!!
O2 Suggest switching off Location Services under general settings, but generally just blame Apple for the problem and say they cannot help. It's terribly disappointing.