Service Pack 2 adds to Windows XP the same level of security as in Windows Server 2003 for XA transactions (transactions that are used with XA-compliant resource managers like Oracle, IBM DB/2 etc). See my previous post at http://blogs.msdn.com/florinlazar/archive/2003/12/04/41370.aspx for the more details on how to enable XA transactions after installing XP SP2.
If you are using the default XA dll that COM+ provides, which is named mtxoci.dll, then in Windows XP SP2 you need to follow http://support.microsoft.com/default.aspx?scid=kb;EN-US;817066 and create a registry key entry for the "mtxoci.dll" as you would do for any other XA DLL. It would be something similar to:
Key name: mtxoci.dll
Note: Replace the part in bold with your actual path to the %windir% folder.