no firewall is turned on balloon pop up

Hello, recently I've been getting this balloon pop up from the system tray:
http://tinypic.com/r/wjcbnk/7

I've never actually clicked on the balloon because I'm afraid to. When I check my control panel and click on the security icon it says the firewall is turned on. I'm not sure why this is happening, but it's very annoying. I'm usually good at keeping viruses off my computer, but this one is weird. Help me please.

Thank You

Edit: Running Windows XP 2005 media center edition, SP3
Also totally forgot that a little while back that balloon used to say "norton worm protection is turned off". I don't even use norton, I think it may have come with the computer, but I deleted once the trial was over. I downloaded a symantec norton removal tool and ran it, the message stopped popping up for about a day, but came back with the balloon I posted in the pic.

Edited by wrex, 11 September 2010 - 12:13 PM.

finally clicked the balloon, and it just took me to windows security center, but everything was already on.

What firewall are you using?
You may need to tell the Security Center that you will monitor the firewall yoursel if using a non Windows wall.