windows recognition

I downloaded and updated comodo firewall today. When i open internet explorer 7 i get a pop up across the top that says “Your current settings put your computer at risk. Click here to change these settings…”. Im afraid if i do this ill disable comodo firewall. Is there a way to get my system to realize its firewall protected so ill not get these anoying pop ups? I run AntiVir personal edition classic and my system recognizes it as being enabled.
Thanks for any help I do recieve. Im kinda new at this stuff.

If you go into Windows Security Centre and then click on “Change the way Security Centre Alerts me” and uncheck next to Firwall.