There are several causes why this message might appear in the product main window:
1. The product was fully installed (with either Express or Custom installation type selected, the list of the installed components was not changed); however during the product deployment work of some components was paused either manually or by some other reasons.
Resolution: To resolve the problem, enable all protection components.
2. The Anti-Spam component was not installed during Custom installation, while all other product components are functioning and running (this case concerns Kaspersky Internet Security 2009 only).
Resolution: To resolve the problem you can either
2.1.install the Anti-Spam component: go to Start > All Programs > select Kaspersky Lab’s product > Modify, Repair or Remove.
or
2.2. hide the message in the main product window:
open the product main window
on the banner click Your computer security is at risk. Fix it now!
in the Protection status window on the Status tab click the button Hide message