According to Microsoft, this happens even on SQL 2000 (don't know about 2005). All the articles on MSKB are about SQL 2000.

And the problem appeared on Windows Server 2003, this...

I rebooted, and rebooted, and rebooted, after almost every change.

I tried that MSKB workaround and some others though.

Also, I have COMPLETELY disabled the Windows firewall. It's still disabled.