My understanding is that the one of the security holes plugged by XP SP2 is that previously the XP firewall was loaded after the XP communication layer, so there is a period of unprotected accessibility until the firewall is itself loaded. SP2 loads the firewall asap and so closes this hole.

At home I am connected to Broadband but do so as-and-when required; therefore I don't think I am susceptible to this possibility. Nevertheless I will probably load SP2 once my favourite computer magazine (UK PcPro) passes a favourable verdict!