It's unrelated to your firewall. It's a "feature" of Windows for those on a corporate (usually) network.
Here's the fix:
Start -> Run...
Type: compmgmt.msc (enter)
Expand: Services and Applications
Select Services
On the right side, Find "Messenger", and double click it.
Set Startup type to "Disabled"
Click the "Stop" button
Click OK
Done
Note: As it says in the info text, this is not related to Windows Messenger, so it will not break it if you do this.
-JG