Can’t delete messages

Hi.
I’ve just installed WordPress and I am happy with it. The only thing frustrating is that I can’t delete a message…even the nice “Hello World!” that is there by default…
I know it has already been posted, it is due to the famous message : “sorry, you need to enable sending of header referrers to perform that operation”.
Well I disabled my Norton Firewall and nothing changed.
I would appreciate if this could be fixed, because otherwise I think I will have to use another tool ??
Jerome