GeneraL Window XP problems I have

I have three problems I hope to fix from posting this. The first problem is that some files on my computer have blue font. I know its probably just a setting, but I don't know how to fix it.

My next problem is that I cannot turn off Windows Firewall. It isn't much of a problem, it is just bothering me.

My final problem is one that is the true problem. Under my Administrator account, I can't access a file on my limited account on the desktop. It says it is empty and access is denied, yet it clearly has stuff in it.

This is a link to my photobucket containing 5 pictures to help

http://s102.photobucket.com/albums/m94/warthang0991/

 

Ok if the blue font is in the folder tree it means compressed files
Did you goto control panal> firewall and turn it off that way?
The last one I dan't know the answer to.

 

The pic with the firewall settings says it's controlled bu GP.
http://i102.photobucket.com/albums/m94/warthang0991/WindowsFirewallProblem.jpg
Are you on a network? If so, maybe the network administrator has locked the changes.