Security problem

I just added a software/hardware Zune MP3 player and it would not run the software package that came with the product without me upgrading my XP.(updates)... Anyway, now every time I get on the internet it gives me a SECURITY WARNING, do you want to allow. Can anyone tell me how to disconnect this program. I know its there to help, but up to the updates, I did not have this warning. Need to terminate.... Thanks, Mike