its just telling you the thing is turned off.. as for telling you what to do you are in luck because Microsoft is happy to make all your choices for you
now assuming you want to make your own mind up; what kind of files are bringing into this system i.e, are you downloading torrents or swapping files with random people you don't know = turn it on
just playing games and the odd visit to your bank = i'd leave it off
basically if people you don't trust [like a kid brother perhaps] are also using this computer then it adds another pop up asking if they are sure every time the computer does a task... apart from that extra popup question its basically the same off or on