I have never encountered this before, but after a quick search on Google, it appears that you may have a virus or spyware on your PC. However, before panicking, are you the Administrator? You will not be allowed to alter the security settings on thePC unless you have an Administrator account, so check your account type first.
If you are the Administrator, then there's almost cerainly something wrong. Click on the following link for more info - it's a link to a Help Forum where others have had the same problem. It looks a little comlex, but there are people on there who appear to have a solution, so you could just follow the steps and see what happens:
http://help.lockergnome.com/windows/group-policy-disables-firewall-virus-result-ftopict440216.html
Also, to ensure future protection and to make sure this does not happen again, you should install an anti-virus program and an anti-spyware program. If you don't have any of these, there are several free programs you can download.
For anti-virus, Google the following:
- AVG Free Edition;
- Avast;
- Avira AntiVir.
You can try them all out to see which you prefer, but only ever install one anti-virus at the same time as they can conflict with each other. Whichever one you choose, set it up to perform daily scans and updates.
For anti-spyware, Google the following:
- AdAware 2007;
- SpyWare Terminator (which I use);
- SpyBot Search & Destroy.
You can use as many anti-spyware programs as you like. SpyWare Terminator has excellent real-time protection and scanning. You also need to set these programs up to do regular updates and scans. Some offer a schedule option to have these done automatically, others you will need to perform manually.
You should also download a program like CCleaner. This scans your PC for unused files and registry keys and gets rid of them. I do mine every few days and it usually removes 20mb+ each time!
Also, doing the above should also ensure that you get rid of every trace of whatever has entered your system.