Sounds like your running Windows XP Service Pack 2. This version of windows comes with a built in windows firewall and alot of security features. That red shield notifies you that some of those features are turned off and your computer is now vulnerable to hacker and virus attacks. One way to make that red shild go away is to actually turn on the firewall and other features, it wil make that icon trun green (i think) and sertanly get rid of those popups.
To turn it on right click on your My Computer icon and select Properties, thre you will see a tab saying something like Security or Firwall or something like that. Click on it and turn on all the features.
This is the reason i dont have Service Pack 2 cause that damn message is annoying and im just too lazy to go in and fix it
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