After SP2 installation, when Skype attempts to connect to the Internet, a dialog pops up, asking whether you allow the connection. You must click Unblock to allow Skype to connect to the Internet.
You can also do this later if you missed the dialog, by following the steps below. There is also a Skype Visual Guide
for configuring XP SP2 firewall.
Click Start, Control Panel
Click Windows Firewall
On General tab, see that the first setting is "On (recommended)" and "Don't allow exceptions" is NOT checked
Click Exceptions tab
If Skype is in the "Programs and Services" list, make sure the checkbox is checked
If Skype is NOT in the "Programs and Services" list, click "Add Program..." and add Skype to the list