Windows XP SP2 is the most recent service pack for the Windows XP operating system. Windows XP SP2 includes fixes and updates that include a set of security technologies designed to help reduce the risk of malicious attacks against computer systems. Windows XP SP2 includes Windows Firewall, an enhanced version of the component previously known as Internet Connection Firewall (ICF). Windows Firewall is a host-based, stateful, filtering firewall that discards unsolicited incoming traffic through TCP/IP version 4 (IPv4) and TCP/IP version 6 (IPv6) connections. Windows XP SP2 enables Windows Firewall on all network connections by default.
All above these Windows XP SP2 security features affects SQL Server and MSDE.