This message appears when searching for updates are almost complete. I use PC Tools Firewall Plus, please help!

This will be an error with your firewall settings for GameShadow - go into PC Tools Firewall Plus, delete the GameShadow entries and then run Gameshadow again.  It will ask you if you want to add GameShadow to the allowed list, which you do

BTW you have a lot of stuff in your system tray

 I will reduce sum of the things in the system tray.