One of the things that annoys me is how WinXP always bugs you if you disable the firewall or don't have a virus scanner installed. You can tell XP to not monitor those aspects by clicking the "Show me recommendations" after double-clicking the little shield icon. In the box that pops up you should be able to select something like "I'll monitor this service myself". Once you set it to quit monitoring those things, the shield will go away until critical windows updates are available.
Hope that helps.
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