Is OneCare in green status, yet you have a red shield with a white x in it? Are you turning on the Firewall based on the alert from the red shield or by opening Windows Security Center? If so, see this thread -
http://social.microsoft.com/Forums/en-US/onecareupdate/thread/297455ff-0484-4dd6-9627-ca1b0e30b015
which explains the problem and the solution(workaround) before a OneCare update is sent out soon.
If OneCare is not in green status, and the OneCare icon is red and the OneCare firewall is turning off, you have a different issue. If that's the case, please post back.
-steve
Microsoft MVP Windows Live / Windows Live OneCare, Live Mesh, & MS Security Essentials Forums Moderator