Make sure that you don't have a virus.
Install and run a good antivirus. Do a full scan.
(suggestions: AVG Free, Avira, Microsoft Security Essentials)
Make sure you don't have some spyware.
Install and run a good anti-styware. Do a full scan.
(suggestion: Spybot Search & Destroy)
Check your firewall settings.
From the provided informations, it seems that the firewall is forbiding some applications from communicating with the internet.
Don't unlock everything!
The message may be generated when a virus or spyware tries to call home to perform some criminal actions, steal your personnal informations or request new instruction from some criminal group...