Run the Group Policy snap-in (gpedit.msc). Under Local Computer Policy > Computer Configuration > Administrative Templates > Network > Network Connections > Windows Firewall set "Protect all network connections" to Not Configured. Do this for Domain Profile and Standard Profile.

Run gpupdate. This program is described here:

http://www.microsoft.com/resources/documentation/windows/xp/
    all/proddocs/en-us/refrgp.mspx?mfr=true