Please note that the universal application of the DEP feature as described earlier in the thread may result in some legitimate programs failing to function correctly.
In SP2, the feature is not applied by default, probably for this reason. Anybody applying it as protection against the VML exploit needs to bear in mind that it may cause problems.
I applied the DEP feature on my computer (software only, as I have an older chip) and soon after I got this message while running Ad-Aware: