I ran into a similar problem yesterday with a client that had Verizon DSL (PPPoE) and a Westell 2200 DSL modem running in NAT mode and a computer running Windows XP home edition. After installing the DSL filters, activating the client's DSL account and installing the Verizon DSL software, I had their internet connection working flawlessly.
Sure enough, after installing Windows XP SP2, the DSL connection stopped working upon reboot. I noticed there was no Ethernet link light on the Westell 2200 DSL Modem. I turned off Microsoft's new firewall and rebooted the PC and sure enough the problem was resolved.
The problem was caused by Microsoft improved firewall because it was blocking the outbound connection of Verizon's program that creates a bridged connection from the PC's network card to the Westell 2200 DSL modem. Since the client wanted to run Symantec's Firewall, I didn't worry about resolving the problem between MS firewall and Verizon's software. FYI: There were no problems with Symantec's firewall and Verizon DSL.
I didn't try, but I suspect that I could have gotten the Windows Firewall to work Verizon's DSL by adding the Verizon program to the Exceptions list. Microsoft's firewall needs to improve the list of programs it supports automatically and do a better job of asking the user if they want to allow/deny an unknown program/service from connecting to the internet. In other words, it should function more like Symantec's firewall or Zone Alarm.