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If you just open Windows Security Centre, and you are running a non-windows internet security program like Norton which contains a firewall, the security centre page will indicate a firewall is ON (because you have one active).
However you need to open the "windows firewall" ICON. When you do, this indicates if the WINDOWS FIREWALL is ON or OFF.
If it is on you should not get a message.
If you are running an independent firewall with other security software (like Norton etc etc ) then the Windows fire wall needs to be turned off to avoid clashes between multiple firewall programs.