i have the same problem and i also have firewall installed, did you maybe find the solution?
I have got this message twice today on re-boot.
the entire message says 'your computer may be at risk because firewall is not turned on'.
I have the firewall enabled and has been so since i d/l SP-2.
As far as I know I am clean with AVG for default AV periodic on line scans with Trend and/ or Panda.
MSAS enabled as well as Ewido Security Suite, a second firewall Kerio v 2.1.5 and rountine malware scans with Spybot and Ad-Aware.
I am also behind a router and all of the software in 'enabled' in MS Firewall.
All these have been in place for sometime and no functionality problems.
XP-PRO-SP-2 fully patched.
Has any one else experienced this phenomenon and is there a workaround or an MS article that deals with the issue.