Go to "Security Center" (can be found in control panel or from that icon you complain about) and something must need tweaking. I disabled XP firewall and needed to check that I would manage the firewall... from there it went away. May not be your situation but there is something needing to be done for it to go away... at least that was my experience.
Hope you like SP-2... works great for me.
I just updated my Windows XP to Service Pack 2. It placed on icon on my taskbar called "Windows Security Alerts". How can I get rid of this icon on my taskbar? Thank you very much.