Don't feel about about asking someone who they are. It is YOUR right to know who is contacting you at all times. If they don't want to specify who they are up front, well there isn't much you can do about that.
When I get IM'd, and several on Furtopia can vouch for this, if I don't recognize the name etc., I will flat out ask them, "Do I know you?" Most of the time they will say yes with who they are and where I talked to them before or they will say no. Very simple and NEVER apologize for not recognizing someone. There are a lot of strange folks out there and that is when the 'ignore' button comes in handy.