I use SpyBot but have never seen this type of message.
Why not open `Control Panel` select `Security Center` and ensure that all items (firewall & virus checker) are `ON`. If you find one or more `Off` turn it/them `On`.
If any were `Off` you can do another run with SpyBot and see if the problem is resolved.
Usually you get a red shield in the right hand toolbar if there is a problem with one of the major items.