Kenny,
Is this your computer?
Is it a computer at your school?
Is it part of a business?
If it is your computer, and if it is used at home, there should not be a security problem with normal operations. Except downloads.
You said that you are using XP. What Anti Virus program are you using? It may be that the program is trying to protect you from a hostile web site that offers free games to people that don't understand the risk of getting something free on the Internet.