Microsoft Knowledge Base Article 841251 contains the following introduction:
This article describes how to enable SQL Server connectivity on Windows XP Service Pack 2.
By default, Windows Firewall is enabled on computers that are running Microsoft Windows XP Service Pack 2. Windows Firewall closes ports such as 445 that are used for file and printer sharing to prevent Internet computers from connecting to file and print shares on your computer or to other resources. When SQL Server is configured to listen for incoming client connections by using named pipes over a NetBIOS session, SQL Server communicates over TCP ports and these ports must be open. SQL Server clients that are trying to connect to SQL Server will be not be able to connect until SQL Server is set as an exception in Windows Firewall. To set SQL Server as an exception in Windows Firewall, use the steps that are listed in the "More Information" section.
