I have a Windows 2003 Sp1 box running SQL Server 2005; the box also has Windows Firewall turned on. I was going through Windows Event Logs; and found out that NETMAN service has some issues. NETMAN (Network Connections Manager) service is used by Windows Firewall; and my initial findings are that the problem had some connection between SQL Server, NETMAN and Windows Firewall. I had to add Network Service login in NETMAN’s DCOM Configuration and give it Remote Launch and Remote Invocation permissions. (Explained in Russel's reply on this post)
As that box is being used mainly for development purposes; I am not very serious to further investigate. Has anyone encountered such issue?