Hi dude.
I'm runing a M$ box, with XP (some edition or other, can't remember).
I use the vidalia package.
It installs Tor, Privoxy, and Vidalia (which I think is a GUI for Tor).
I get two little icons appearing on the bottom right hand side of my taskbar, like these :
[attachmentid=88658]
The one on the left is Vidalia. When it is green, that means everything is OK.
The one on the right is Privoxy. Green is good here too. (I don't know if it even goes any other colour)
I sometimes used to get this message when I had Privoxy turned on, but not Tor.
Before I used vidalia, Tor just used to sit in a shell prompt (I think - me memories not too good) on my desktop, spewing out obscure error mesages occasionally.
Hope this helps.
(Oh yeah, and firefox is up to v 1.5.0.6, theres an update button in the help menu.)