This alert comes up when:
1. Automatic Updates are Turn Off
2. Firewall is Turn Off
3. No Anti Virus or Anti Virus Status is unknown
By default, Automatic Updates and Firewall remain on in Windows XP. The
main
cause of appearing this alert could be because of Anti Virus Status or you
have no anti virus installed.
If this alert is annoying you then you can turn off the Security Center
service.
1. Right-click on My Computer - choose Manager
2. Expand to Services and Applications
3. Services
4. Double-click on Security Center service.
5. On the "Startup Type" change to "Disable" click Apply. Service will not
automatic run on next boot and will not pop you up.
6. Click the Stop button to immediate stop this service.
Method describe by Ayush is useful but the Security Center Service remain
running in the background and use hardware resources.
Hope this information helps you, let us know.