I have tried the instruction from Article 841252 to configure Windows Firewall for TCP and UDP in a Windows XP SP2 RC2 machine with SQL Server 2000. I have added a port named Port 1433 which has Port number 1433 and TCP. I have added another port named Port 1434 which has Port number 1434 and UDP. I have checked these 2 ports and the File and Printer Sharing.
On the client machine, I only enable TCP/IP protocol in the SQL Server Client Network Utility. I CANNOT add a System DSN that connects the SQL Server of the Windows XP SP2 RC2 machine in the ODBC Data Source Administrator.
On the same client machine, . I can add a System DSN that connects SQL Server 2000 of a Windows XP SP1 machine in the ODBC Data Source Administrator. The Windows XP SP1 has been enabled with Internet Connection Firewall. I have added a service test which has external port 1433 TCP and internal port 1433.