If your system is telling you MSE is turned off, open it to see if it really says it's turned off. My system has that problem on rare occasion - MSE is up and running fine yet it's reported as being turned off.
I believe XP can get confused at times if you've used some other firewall software in the past. Sometimes in removing the old software, a few pieces of it can get left behind which can cause some detection issues similar to what you're reporting.
Bill
