Well, for starters, read this:
http://www.pcwelt.de/know-how/extras/103039
"Windows XP Service Pack 2 with Advanced Security Technologies helps you
protect your PC against viruses, hackers, and worms." - this is how
Microsoft promotes its Service Pack 2 on its website. What the company
does not say: Instead of viruses, worms, and hackers, the supposedly
safe SP2 for Windows XP invites any Internet user to have a look around
your PC.
As soon as you install SP2 on a Windows XP PC with a certain
configuration, your file and printer sharing data are visible worldwide,
despite an activated Firewall. This also applies to all other services.
The PC only has to provide sharing for an internal local network and
connect to the Internet via dial-up or ISDN. Users of DSL services are
also affected, if a firewall is not integrated into the DSL modem or a
common modem instead of a DSL router is used. Additionally, Internet
Connection Sharing of the PC has to be disabled.
(more in article)
<What one MUST DO is to Disable a couple of Services! This will prevent
the problems discussed in this article. >