This article goes out to all Windows XP users with SP2, but no antivirus software...You might be saving for one and all you ever see is this image (in the taskbar):

I will instruct you on how to remove message and icon.
Firstly we need to know what process causes the annoying spam on our desktop. So open task manager (CTRL+ALT+DELETE
or Start > Run > taskmgr).
Now look for the process, named wscntfy.exe

Even try and end it.
However it automatically starts again.
Try deleting the file through explorer.exe or cmd.exe, but its also permission denied.

Now go to Start > Run > C:\Documents and Settings\All Users\Start Menu\Programs\Administrative Tools
Open Services in that directory and look for Security Center.

Now stop the service.

Take a look in task manager, it's gone! Take a look in our task bar, it's gone! But that is not the end.
Delete the wscntfy.exe from system32.
At this current time the only way to hide the message, is to keep the security center stopped.
Hope this helped someone.