Here is a link to a newly posted technote about overcoming the firewall in XP (which is turned on by default) when you install XP Service Pack 2.
Looks like there are a few things to “allow” and they give really good step by step instructions.
There is also a note about the cfhttp tag:
If you use the CFHTTP tag with the attributes Action=”Close” and StopOnError=”yes” you will get the following error:
java.net.SocketException: Connection reset
To work-around this, change the StopOnError attribute to “No”
Anyways if you have SP2 on your XP box and are now having problems getting to it or working with CF check it out.