Then how the heck did you get that malware? I'd like a video prepared of this kind of experience, to show exactly what the user does, so I could see that nothing funny is done.
Oh, ofcourse, unless you install XP in pre-SP2 state, then get on the internet. This is why microsoft has been shipping out SP2 CDs for free. It's damn necessary, unless you're going to enable the windows builtin firewall before connecting to the net.
This whole thing reminds me of incident with linux tcp/ip stack several years ago. There was this fragmentation attack which could remotely crash the kernel, and most linux users weren't running any sort of firewall. They were loudly stating that linux doesn't need firewall because it's secure. Well, how will you patch your system if you can only get the patch from the net, and the network code is vulnerable? A friend of mine had to use another system to download the patch as people were flooding his ip with the attack. When something like this happens, there just aren't any beautiful solutions to it. The default XP pre-SP2 installation happens to be insecure, so you'd better get a slipstreamed installation CD prepared in case you need to reinstall, or a real hardware firewall. Otherwise, you're going to have to enable the damn firewall before you patch, and spend some quality time downloading SP2 right after installation.