This may be perfectly normal. On my system (Windows XP Professional, Service Pack 3), Control Panel > Windows Firewall
reports that the Windows Firewall (the one supplied free as part of XP) is off and everything on the General tab is disabled, and includes a note at the top saying "For your security, some settings are controlled by Group Policy". However, Control Panel > Security Center
reports that the "active" firewall is ON. If you click the double down-arrow icon to the right of "Firewall" in Security Center, it will provide more details about the firewall. In my case, I'm using the firewall supplied by Windows Live OneCare, not the "Windows Firewall" which is provided free as part of XP. Windows Live OneCare disables manipulation of the "Windows Firewall" settings because it (OneCare) is providing the software firewall capabilites: http://img403.imageshack.us/img403/7446/scrn001a.png
This situation may also be true for other "third-party" firewalls.