i have my windows xp firewall turned on but whenever i turn my computer on it alway give me a warning message saying "your computer might be at risk" and it keep telling me to turn on the firewall but its already on so why i m getting this message. i m thinking i might got virus which making it do that. what you guys think, let me know.

have you run a virus scan?
I would recommend using (there is a free version on the page):

http://free.grisoft.com/doc/1

perform the full system scan and let us know how you get on.

yes i have Mcfee and it didn't find anything, but i still get that message every time i turn on the my PC.

not sure why you get it ,but tell me who gives the message ,is it the windows security center,if it is then open the security center and on the left chose ,change the way the security center alerts me ,and un -heck the firewall alert .

I ran into a similar problem except it is with AVG anti-virus - I think it is a timing issue, the check for a firewall happens before the firewall activates.

Windows is just weird sometimes.
Try turning off the firewall and then turning it back on.