In Windows XP Service Pack 2, Microsoft introduced a great utility called the Security Center. Its a control panel that you can go to check the status of your computer's defenses. This control panel displays the status of your Firewall, automatic updates, and anti-virus protection.
If you want to quickly assess the level of your computer's protection this is the place to start. Next to each of the security services, there should be a green light icon. This indicates that the security service is operational and recognized by the Security Center. If a service has been turned off for some reason, or it can't detect the status of this service then you will be notified.
Note: Most third party firewalls and anti-virus applications have been updated to take advantage of this feature. If you're running an older version of these security services, contact the company that makes this software and check if they have any updates available to rectify this problem.
If these notifications are bothering you because one of your services is not being recognized by the Security Center, there is a way to disable this feature. In the Resources pane click the 'Change the way Security Center alerts me' link. From here you can disable or enable any of these notifications.