Well im no expert but it might be because you already have something to protect your computer and may act like a firewall.
Am running Windows XP Home Edition SP 2 w/Norton Internet Security Windows Defender, Spyboot Search and Destroy
My question is, why does my Windows Firewall keep shutting itself off? I put a shortcut on the desktop so I could check on it and turn it on when it was off. Any help would be appreciated. Thank you