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And now, take a look in here… first one is showing something very similar to what you get when you start your Windows… in my case I just turned off my Sygate firewall to simulate your problem…
You stated above:
The actual balloon message is " Your computer might be at risk, Your firewall is not switched on, Click this balloon to fix this problem"
Well, click on balloon and see what options you have. 99% that your firewall is not turned on, at least because of following 2 causes:
1.) your XP SP2 built-in firewall is turned off, or…
2.) you are using some other third part firewall that is not recognized by Windows Security Center. I am using Sygate and it’s not recognized either… that’s why you have to put checkmark inside the Window on the screenshot I posted in my next reply (I have firewall solution and I’ll monitor it myself)… of course, that’s only in case you have some third party firewall installed and you don’t wanna use SP2 buil-in firewall… but again, you didn’t mention anything about having another firewall installed… Post screenshots like I did, and we will see…