I shut off the Windows firewall on our three XP computers to facilitate our network. We are protected by a firewall in the router.
Now the question is how do I get rid of the security icon in the taskbar and will that prevent the balloon that says my computer is in danger?

William Lockie

Click the red icon in the system tray. On the firewall screen click "recommendation", check the box that says "I have a firewall solution that I'll monitor myself" . Click OK.
You are good to go! This is only for windows with SP2

Start > Control Panel > Security Centre.

On the left you will see a link that says "Change the way Security Centre alerts me".

Uncheck the appropriate boxes.

I connect to the internet through a router with a hardware firewall too, and I leave the Windows firewall enabled. Doing that hasn't caused me any problems so far for the programs I use on my computer, in about three years of using XP.
On the other hand, since I do connect to the web through a router, I don't bother loading any third party firewalls, including those included in anti-malware software.