This is either a sign of a malware infestation or the handiwork of some other security suite like Norton or McAfee that has it's own firewall, so switches off the Windows firewall if it finds it on.
So if you have something like Norton or McAfee (or others) installed which comes with its own firewall, the Windows firewall is unnecessary and you can ignore that message. If you don't have anything like Norton or McAfee installed, you probably have some kind of malware infestation.
That said, with fewer than 60 days before all support for XP ends, this would be an excellent time to consider Linux if you're not interested in getting a new computer. Once MS ends all support for XP, it's off to the races for all the ne'er do well's of the Internet seeking to cash in on people, like yourself, who are still using XP.
WIN XP Home Edition - Put in a new hard drive on my PC; reloaded everything; all seems to be working well except every time I start up, the balloon message tells me my firewall is off -- even though I set it for on; next time, same thing. Also, I turned off the Error Report Service but when I go back and check it the next time, it's turned itself back on. A gremlin here, or is WIN XP merely offended at me? Any suggestions? Thanks!

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic