I encounter that if you disable the build-in firewall that came with SP2, the next restart it would enable itself again. It looks like something like a firewall is blocking program from accessing the internet but you can still browse with IE. Do you have a router? If so check to see if it's filtering anything or go into control panel/windows firewall then go to exceptions and add the program you want to use and make sure theres a check and press ok.
Also check to see if your internet option/ security tab is not set to high.