I can't connect to the internet with internet explorer, but I can connect with Firefox. What is the problem?

There is a bug installing service pack 3 the fix is available here
Download details: Update for Windows XP (KB953979) (http://www.microsoft.com/downloads/details.aspx?FamilyId=6ADAF000-E2AA-4EAF-81F4-6AF385768280&displaylang=en)

I have service pack 2.

It sounds like your firewall is blocking them.

Go into program control and check that out.

Or, try this. Open IE and click on tools > internet options
Then click on the connections tab > LAN settings...

Make sure the "automatically detect" setting is checked...
Now make sure there is no proxy server address in the proxy box, and that the use proxy server is not checked, and that the bypass local addresses is not checked.

That did the trick. I checked off the automatically detect settings tab under automatic configuration, and unchecked use a proxy server for your LAN under proxy server.

TYVM