The time is coming... Heise Security has discovered the first flaw on Windows XP SP2.
"With Service Pack 2, Microsoft introduces a new security feature which warns users before executing files that originate from an untrusted location (zone) such as the Internet.
There are two flaws in the implementation of this feature: a cmd issue and the caching of ZoneIDs in Windows Explorer. The Windows command shell cmd ignores zone information and starts executables without warnings. Virus authors could use this to spread viruses despite the new security features of SP2.
Windows Explorer does not update zone information properly when files are overwritten. So it can be tricked to execute files from the internet without warning."
You can read more about these flaws HERE.
This is not a good news... 
I hope that the announced delay on the official releasing of SP2 could help to fix these problems.