If you have other antivirus or anti-malware software installed, that can cause MSE to turn off. Could be the case on your computer?
When I Power Up my PC (Win XP SP3), I get the warning Icon from the Microsoft Security Center telling me that "Microsoft Security Essentials reports that it is turned off". (It then runs on at great length about how this is a bad thing, while offering no clue regardig how to TURN ON Microsoft Security Essentials, but this is a question, not a rant.)
But all the while that the Security Center is giving me these dire warnings, The Little Security Essentials castle is a cheery green, and when I click on it the resulting window tells me that Security essentials is monitoring away in realtime! If I were able to post attachments I could show you a screen capture with the two windows open simultaneously, one saying MCSE is down & one saying it's up.
So, how can this be?