I'm not running SP 2 on any machines, so I can't test it for you, but it may be that the personal firewall being activated on SP 2 is blocking IDLE from starting up. You might try turning that off and seeing if that helps. IIRC, part of SP 2 was port disabling.
I do remember seeing that message but thought "no way" since the Windows firewall is pretty forgiving in my experience. But after a bit of tweaking and even disabling the firewall completely, the problem persists.
-- Brian Beck Adventurer of the First Order -- http://mail.python.org/mailman/listinfo/python-list