One of the problems appears to be a conflict between DivX 5.2.
A note on this site says that before running the DivX 5.2 installer, the DEP feature has to be turned off in Service Pack 2.
Other people are reporting problems using peer to peer software.
One of the security features in SP2 is intended to help slow down the spread of Sasser type malicious programs, and SP2's stack apparently only allows 10 simultaneous connections per port, compared to the previously unlimited connections.
There's more on this here and here.
We've also heard that some people are having problems when they have Zone Alarm loaded. Uninstalling ZA removes the problem, according to a tech moderator at Ubisoft's II-2/Forgotten Battles.
Once SP2 is installed correctly, an extra option called Firewall appears in Control Panel. This gives the different options you can set for the Firewall, with the screen looking like this.
If you're using a wireless network, there's also a new little wi-fi icon that appears in the quick launch bar at the bottom of the XP screen.
Meanwhile we've heard from someone who had an illegal key for Microsoft Windows XP. He claims he's downloaded SP2 and installed it without any problems at all. µ
See Also
Big Blue warns users about Windows XP SP2
Direct Microsoft XP SP2 link found