When you install SP2 (Service Pack 2) for Windows XP, the Windows Firewall is enabled by default.

The Windows Firewall closes ports to prevent Internet users from connecting to resources on your computer, possibly with malicious intent.

When a program attempts to use a blocked port, a Security Alert dialog is opened and you are presented with some options:

Security Alert
To help protect your computer, Windows Firewall has blocked this program from receiving unsolicited information for the Internet or a network.
Name: <Program Name>
Publisher: <The Publisher>

Options:

Unblock this program
Keep blocking this program
Keep blocking this program, but ask me again later

Unblock this program

This option adds the program to the Exceptions tab in Windows Firewall and selects it's check box, allowing the program to run or listen.

Keep blocking this program

This option adds the program to the Exceptions tab in Windows Firewall and clears it's check box, preventing the program from running or listening.

Keep blocking this program, but ask me again later

This option prevents the program from running or listening. The program is NOT added to the Exceptions tab in Windows Firewall.

NOTE: Windows XP Tablet PC Edition 2005 exhibits this same behavior, as does SP2 for Windows XP Media Center Edition.