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Your computer is at risk - firewall related

My McAfee Antivirus plus was updated a couple of days ago.  Ever since the update I get a message saying "Your computer is at risk".  The reason for the risk is that the Windows firewall is purposely turned off.  I have check the "don't show an alert when firewall is off" box but continue to get the message.  How do I get rid of the message?  I have several accounts and this is happening with all of them.  All are Windows XP SP3.

Thank you