In case anyone is interested, here is the technical breakdown on RAW socket support on Win32 platforms. It came from the NMAP mailing list...

From: Robin Keir <robin@keir.net>
Date: Mon, 25 Apr 2005 14:33:01 -0700
Subject: Raw sockets, MS05-019 and Windows Firewall -- Summary

With the advent of XP SP2 and the recent MS05-019 patch, using raw
sockets for scanning from a Windows platform has proven to be very
problematic. I thought I would summarize the situation.

Based upon the presence of MS05-019 and the state of the Windows
Firewall service(s) we have to decide whether we need to stop or start
the firewall service(s). Even then there may still be issues. The logic
is as follows:

Windows 2000 is unaffected. It fully supports all raw socket actions and
since it doesn't have the Windows Firewall/ICF we don't have any of
those associated issues.

XP SP0 should have the firewall stopped ("net stop sharedaccess"). Even
though TCP raw sockets are unaffected by the firewall the ALG service,
which is intimately tied to the firewall service on XP, prevents
discovery of several ports such as 21, 389, 1002 and 1720 when using TCP
raw sockets. Stopping the sharedaccess service thus automatically stops
the ALG service and we're good to go.

XP SP1 *without* MS05-019 functions the same as XP SP0.

XP SP1 *with* MS05-019 needs to have the sharedaccess firewall service
*running* (see http://support.microsoft.com/kb/897656) otherwise TCP raw
sockets are blocked. Because the sharedaccess service needs to be
running to enable sending of TCP packets using raw sockets we have the
problem with the ALG service blocking sending to certain ports, but it's
better than nothing.

XP SP2 *without* MS05-019 functions the same as XP SP1 without the patch
apart from a driver-level restriction on the number of
in-the-process-of-connecting TCP connections. This can affect regular
socket style scanning. The only known workaround to the driver issue is
a TCPIP.SYS hack.

XP SP2 *with* MS05-019 is unusable for raw-socket TCP scanning. It
totally blocks TCP raw sockets with or without the firewall enabled.

Windows Server 2003 acts like XP SP0. The ALG service, which is now no
longer tied to the sharedaccess (Windows Firewall) service, should be
stopped ("net stop alg").

What a mess :-)