The reason I believe that it is being generated or caused by Avast is the Avast FAQ's, Quest "what should I know about using avast 4 together with a firewall" where it states "you will be receiving warnings by your firewall, because avast tries to connect to our servers"

Again, this message from FAQ doesn’t have anything to do with those messages you’re receiving…

1.) your SP2 Security center is alarming you that your firewall is not enabled even you enabled it (or are you 100% sure you enabled it ? :wink: ). If you can prove your firewall is enabled, than it’s a Windows installation itself and that has nothing to do with avast! You should try to search for help on one of those Microsoft Windowx XP related forums for further help.

2.) Message from FAQ “you will be receiving warnings by your firewall, because avast tries to connect to our servers” is something completely different and it’s not even close to the info message you’re receiving at the Windows startup. You are receiveing message from your Windows Security CEnter that your firewall is NOT enabled, not message from your firewall that your avast! is trying to connect. Avast! is trying to connect only when it’s checking for new updates and/or your mail client or e-mail notification program is receiving on sending e-mails. Even if you didn’t set your firewall let avast! to connect you shouldn’t get message that your firewall is not installed. Antivirus doesn’t have anything to do with the fact that your firewall is not recognized in Security Center. Firewall is built in SP2, so it must be recognized if it’s turned ON. If it’s still not recognized, then it’s a Windows or SP2 Installation fault.

Again, post your screenshot and you’ll see that what I’m talking about is true…