Firewall Running Background Blank Screen - Red X Button Doesn't Close Either

I'm using Windows XP Professional, an Intel P4 with 1.0GB Ram, nVidia GeForce FX5700 graphics card. Microsoft's Windows Defender Beta 2, Nod 32 Antivirus program and eTrust's Pest Patrol are running on my PC. I also have Windows Firewall running in the background. On starting the PC and before the Microsoft XP's welcome splash screen, I get a blank window. Not always, but 99% of the time. The only way I can close this window, is to click the OK button that appears on the screen. Clicking on the red X button doesn't help close it either. Once the window closes, the welcome screen appears and then the desktop with my icons, folders, shortcuts etc. appear and all is well with the PC. Most of the time the window is blank except for the OK button in the middle. On some occasions, a single file path(different each time I start the PC - examples listed below) can be seen on the dark blue band on top of the window and occasionally, inside the window:

C:WindowsSystem32inetsrvlonsint.dll
C:WindowsSystem32mui�c0axpsp1res.dll
C:WindowsSystem32mui�40dxpsp2res.dll ....