Microsoft Knowledge Base Article 841249 contains the following introduction:
Microsoft Windows XP Service Pack 2 (SP2) includes Windows Firewall. Windows Firewall is an enhanced version of Internet Connection Firewall (ICF). Windows Firewall is a host-based, stateful, filtering firewall that discards unsolicited incoming traffic through TCP/IP version 4 (IPv4) connections and through TCP/IP version 6 (IPv6) connections. By default, Windows Firewall is enabled on computers that are running Windows XP SP2.
Because Windows Firewall is enabled, Microsoft SQL Server cannot listen to the network, even if it was previously configured to do this. This article contains links to Microsoft Knowledge Base articles that you can use to help you configure Windows Firewall to permit access for SQL Server.