Configuring ICMP Settings in Windows Firewall at MSDN (Beginners' Guide)
Configuring Ports to Allow Services Through Windows Firewall at MSDN
What does Windows Firewall Really do?: Dave Piscitello
Windows Firewall Basics: Jeff Fellinge
Best Practice: When to run the Windows XP SP2 Windows Firewall: Rod Trent
Why you should use a computer firewall: Microsoft
Windows XP SP2 Network Software Firewall: Bradley Mitchell
XP SP2 Installation breaks Windows Firewall Shavlik SKB 450: Configuring the firewall when deploying XP SP2: Shavlik
(This KBA describes how accommodate centralized patch management)
Test XP SP2 ASAP: Laura E. Hunter
Programs stop working after you install Windows XP SP2: Microsoft KBA 842242
(This KBA identifies programs that may require you to open ports manually)
How to Configure Windows Firewall On a Run-Time Image at MSDN

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