JSI Tip 10309. You cannot connect to the SMS database, or expand nodes in the SMS Administrator console tree when you run SMS in Windows XP SP2?

Microsoft Knowledge Base Article 841619 contains the following summary:

After you apply Microsoft Windows XP Service Pack 2 (SP2) to a computer that is running the Systems Management Server (SMS) Administrator console, you may not be able to connect to the SMS database or to expand some nodes in the console tree. This issue occurs because of the new settings in the service pack. You can resolve this issue by modifying the Windows Firewall settings. You may also have to set anonymous remote access rights in DCOM or modify local security policy settings.