Ian Griffiths: Raw Sockets Gone in XP SP 2.
Michael Howard: A little more info on raw sockets and Windows XP SP2.
I think what Michael's basically saying is that data sent through a raw socket is parsed by the stack, any packets with protocol 6 (TCP) are discarded, and any packets with protocol 17 (UDP) must have an outgoing IP address matching one of the interfaces or it's dropped. This prevents programs using raw sockets to disguise what they're up to using the standard Internet protocols - hopefully preventing zombies from disguising the origins of their packets.
If you really need to do this, you can still use a device driver which avoids the Microsoft TCP/IP stack entirely, such as WinPcap. Dana Epp's already produced a patch for nmap which causes it to revert to using WinPcap (it's a two-line patch!)
This probably means, of course, that new zombie programs will just come with WinPcap, because I don't think SP2 limits driver loading (aside from it being limited to users/groups with the Load or unload device drivers privilege, granted to the Administrators group by default).