Windows says my firewall is turned off

When I turn on my PC (running Windows XP service pack 2), after everything starts, I get a warning in the system tray that says “Your computer might be at risk, no firewall is turned on. Click on this balloon to fix the problem. ” I click the balloon, and the Windows security center says that my firewall is on and working fine.
I’m not running any other firewall except Windows firewall.
Is this just something I have to live with?
