How do I get rid of annoying box that keeps poping up in XP

Could be a firewall issue. If you're running a 3rd-party firewall, disable it and see what happens. If the problem doesn't appear, consult your firewall vendor's website for SP2 issues and work-arounds.

I uninstalled SP2 and am now on SP1. And I don't have any firewall installed. Any other suggestions that I could look into.

Thanks.

I haven't really found anything concrete. It may be related to a change in proxy settin's, but its not somethin' I have seen, and there isn't any chatter about it in the newsgroups. Ya might wanna see what Microsoft has to say. Microsoft offers a toll-free number for SP2 install issues:
(888) SP2-HELP (772-4357). Weekday hours are 5:00 AM - 9:00 PM, Weekend hours are 6:00 AM - 3:00 PM US Pacific Time.

I finally called the Microsoft number given by timberlandko and they solved the problem for me.

They told me to go to IE, tools, options, advaced, and uncheck "enable third party browser extensions" and the annoying box went away. MS said they've seen this problem before.

They also came on in about 3 mins which was very quick and suprising.

Thanks for the suggestion.