Firewall and Automatic Updates are both on.
The reason for the red shield icon is - Virus Protection (Check Status).
Anyway, regarding the sophos.com and symantec.com I've got them up and running. I did a search on yahoo and found a page which helped me to solve them.
Anyway, for those of you using Microsoft's Antispyware, can you all get it to run on startup? I never could even though I've set that option.
And also, I can't get Norton Antivirus to 'Enable auto protect(Recommended)'. I've ticked that box many times..but just cant get it to work. Can I solve this just by uninstalling the Norton ANtivirus, and then reinstalling it again?