your computer is installed as managed ( that means all the settings need to be done at the console end)
if you disabled internet email autoprotect and do not lock you will get this message.

Managed clients display a warning - Auto-Protect for Internet email, Microsoft Outlook, or Lotus Notes is turned off, even though disabled in the Management Console's AntiVirus Policy.

http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2007122013525848

if you want to remove Network threat protection ( firewall) 

Open Add/ remove programs

  Select Symantec Endpoint protection

   Click change

 Select Modify

 Remove Network threat protection ( firewall ) 

   Reboot the machine 

Hi and thank you for your answer.

Unfortunatelly it is impossible to remove Network threat protection. It ask me for a code that I don't have. It is a laptop from my previous company which "give" me the laptop.
My last solution is to contact the customer service from the software I would like to install to have an "installation key" instead of installation from internet.

But thank you again for your answer ;) 

All the best,

Hollow

i think you disable that key
when it prompts for the key
dont click on the pop up
open taskmanager
look for msiexec.exe running on your name
kill that, that should let you to uninstall,
can you post a screen shot? we can fix this :)  

hi,

Thank you Rafeeq ;) 
I will do that tomorrow. It's very kind of you to help me.

Thank you again,

Hollow

Since you are a local admin, there may be another way to complete your install.  At the
bottom right of you screen,click on yellow shield icon for the SEP client,  and click "Disable
S-y-mantec Encpoint Protection."

After the install, remember to turn it back on.

John

Try John's suggestion ,if not helps try as follows
Turn OFF Network Threat Protection from registry.

HKEY_LOCAL_MACHINE\SOFTWARE\Symantec\Symantec Endpoint Protection\SMC

smc_engine_status 0 – means turned OFF 1- turned ON.