XP Firewall keeps turning itself on

I have a friend who is running XP with SP2. He is trying to set up his computer and a Belkin router via the network card. Every time he tries to connect to the router he finds that the XP firewall has turned itself on and he gets the following message
Local Area connection
Network Cable Unplugged Firewalled
Via Rhine II Fast Ethernet Adapter…Red cross
He is using Comodo as his firewall hence that is why he has turned off the Windows firewall