Note: Version 4 and up auto-configures your firewall to allow access to PlayerPal from devices on your local network so you should not see this anymore.
This Window will appear when installing PlayerPal on a Windows PC that has XP Service Pack 2 installed and the Windows Firewall enabled. For PlayerPal to work you need to press Unblock. PlayerPal is not doing anything bad. It is just trying to talk to other PlayerPal components on your PC.