alvis:

I am confused by these two seemingly contradictory statements. You stated that:

Quote Originally Posted by alvis
I have checked the options that I have both a firewall and antivirus protection which I will monitor myself. Is this what you meant?

If I uncheck these options I receive messages (in the system tray) that I am unprotected - when I know I am.
I interpreted this as: Although you have a firewall and antivirus, when you let Windows Security Center monitor your firewall and antivirus it started issuing warning messages.

Now you indicate that:

Quote Originally Posted by alvis
I have AVG 7.1 Professional and Zone Alarm and have indicated that I have these on the Windows Security Centre.

… I tried turning off both the AVG and Zone Alarm and was immediately warned by Windows Security that my computer was unprotected by antivirus and a firewall.
The latter of those two statements is exactly what Windows Security Center is designed to do, warn you that something is wrong with your firewall and/or antivirus protect.

The Spybot detection is designed to warn you that you do not have Windows Security Center set properly to issue those warnings should your firewall and/or antivirus become disabled.

If you have reset Windows Security Center and it is how monitoring your firewall and antivirus, then you should not have "excluded the detection from future scans" within Spybot and should reverse them.

If on the other hand you had to turn the monitoring within Windows Security Center back off because of false warnings concerning not having a firewall and/or antivirus, then leave the detections excluded.