I had an object lesson in this, fortunately with a friend's computer, not a SQL Server. He was running Win2K Pro and something really hosed his permissions and it boiled down to needing to do a reinstall. Unfortunately I hadn't brought my laptop with me and had no way to download SP4. He had a broadband connection but without a router. After the install was completed and we rebooted, the machine was instantly rooted by bots sitting on Qwest's network. We never had a chance at downloading SP4 and IE 6 to get the minimum level of protection needed.

We went out and bought a copy of XP Pro that had SP2 pre-installed. Off-line installation went fine, system actually ran faster. We installed Zone Alarm Pro, and as soon as we put the system online again, you could see the root kit bots hammering away.

Tried to get the guy to buy a router but he wouldn't.

Oh, and a special shout out to Qwest for doing such a great job of monitoring their network to prevent bots from compromising their user's equipment! 😀