If you use SQL Server on Windows XP, some of the changes that are incorported in XP SP2 are going to affect the installation of SQL Server. A kb article can be found at http://support.microsoft.com/default.aspx?scid=kb;en-us;841249. It outlines how to configure XP SP2 for use with SQL Server.

Also, these links are very useful:

841251 How to enable SQL Server connectivity on Windows XP Service Pack 2

841252 How to manually enable TCP/IP on Windows XP Service Pack 2 for SQL Server 2000

841253 How to enable SQL Server 2000 Reporting Services on Windows XP Service Pack 2

841549 How to enable ports on Windows XP Service Pack 2 for SQL Server 2000 Analysis Services and OLAP

842005 How to enable the ISAPI component on SQLXML on Windows XP Service Pack 2

841256 How to enable SQL Server 2000 Analysis Services and OLAP Services on computers that are running Windows XP SP2