Are you using Windows Live OneCare? If so, then the Windows Firewall is turned off by OneCare as OneCare provides a firewall. OneCare uses Group Policy settings to turn off the Windows Firewall. Any firewall changes you wish to make are done via the OneCare interface not the Windows Security Center.
If OneCare is in green status, but the Windows Security Center says that the firewall is off, see this post:
Windows Security Center fix - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2469173&SiteID=2
If you are not using OneCare, you're off topic for this forum, which is dedicated to Windows Live OneCare. You may want to try the Microsoft Public newsgroups here: http://www.microsoft.com/communities/newsgroups/list/en-us/default.aspx
Or, you can try this -
Start/Run - type "regedit" without the quotes, click OK
Delete these Registry keys if they exist:
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\WindowsFirewall
\DomainProfile \EnableFirewall=0 (DWORD data type)
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\WindowsFirewall
\StandardProfile \EnableFirewall=0 (DWORD data type)
WARNING - editing the registry could cause your PC to be unusable.
DO NOT USE THE ABOVE IF YOU ARE USING ONECARE!
-steve
