This is what the help file for Security Centre has to say about this issue:
Use a firewall that Windows doesn't find
A firewall can help prevent hackers or malicious software (such as worms)
from gaining access to your computer through a network or the Internet. A
firewall can also help stop your computer from sending malicious software to
other computers.
Windows checks to make sure that your computer has a firewall installed and
turned on, and then it displays the firewall's status in Windows Security
Center. If no working firewall is found, Windows alerts you by displaying a
notification in the notification area. If your computer is protected by a
firewall and you still receive a notification, it's possible that Windows
did not find your firewall or the firewall did not report its status to
Windows. Use the following steps to stop receiving this notification. You
should only do this if you are sure that your computer is protected by a
firewall.
To specify that you're using a firewall that Windows doesn't find
Click to open Security Center.
Under Firewall, click Show me my available options.
In the Windows Security Center dialog box, click I have a firewall solution
that I'll monitor myself. If you are prompted for an administrator password
or confirmation, type the password or provide confirmation. Security Center
will display your firewall settings as Not monitored, and you will no longer
receive notifications about your firewall.
Notes
The Show me my available options link is not available when your Firewall
setting is marked On.
If your computer is using a hardware firewall, you can provide another layer
of security by turning on Windows Firewall or another software firewall.
See also
Using Windows Security Center
Firewall: frequently asked questions
Turn Windows Firewall on or off
[unquote]
Pepper said:
I am getting a warning from Window's Security that I have no firewall or
antivirus protection, even though I have McAfee. I have never had this
problem before. I recently installed SP1. Could this be the reason? My
McAfee says that it is on. Do I need to worry? I have Window's Vista
Home
Premium. Thanks.