Make sure you haven't installed a third-party internet security suite that includes a firewall. You should only use one firewall on your system and some third party firewalls automatically turn the windows firewall off. But your security center should show that you are protected by a firewall, nevertheless.
This behavior can be an indication of malware installed on your computer...
I recommend you go to windows update and make sure you are current with all critical security updates for your system, then go to www.malwarebytes.com and install their AntiMalware software. Scan your system and fix any problems it detects.
Then see if your system retains the firewall settings.
I thought there was a MS knowledge base article on this that had something to do with sp3 and a bug fix but I can;t seem to find it right now...
If I locate it I'll post back with a comment...
In the meantime, if those first two suggestions don't turn anything up, I'd run chkdsk on your system and see if it finds some file corruption.
See this article
and this one
I hope this information allows you to resolve this issue. If you need further assistance, please post back with a comment to this thread.
If I've managed to answer your question or solve a problem, please take just a moment to rate this post....thanks!