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Security Center, which was introduced with Service Pack 2 and is still very much present in Service Pack 3, likes to tell you all the time that your system is insecure, especially if you've got Automatic Updates turned off, or a firewall or antivirus running that it doesn't recognise. To silence its complaints:

Go to Start > Settings > Control Panel > Security Center
On the left-hand side of the application click the link that says Change the way Security Center alerts me
Uncheck the item(s) causing you grief — either Firewall, Automatic Updates, Virus Protection — then click OK

I really hate stupid security center.
It is stupidest thing that ms ever come out with their newer service packs.
good advice to anyone who have to use windows xp sp2 or newer.

Why would you disable a simple security feature of Windows? It's hardly a consuming resource.

if you really hate security center running.
open up cmd.exe and type this.
net stop "Security Center"