Are you sure you have version 9 of security centre. Open SC and select about bottom right corner.
Asking as if you are getting the not Protected message fix 99.9% time works for this version.
In version 8 fix says it works but er lies.
Ok further reading I missed that it is your firewall . Have you any other firewall active including windows firewall?
Run the MVT utility in my sig and see what it says (Note run Id when it says it)
This first thought as well good idea to run these two apps in case something snuck through.
Download the free version here: http://www.malwarebytes.org/mbam.php