@alanrf: It tells me that I didn't have an antivirus and a minute later neither a firewall (perhaps because avast desactivate internal windows firewall. Perhaps related with the network shield module). I will install a firewall, but it's not my problem currently
Anyway I did some further tests and I have reinstalled WinXP pro with SP2 only and the problem is gone.
It seems that SP3 has changed some internal detections of antivirus / firewalls.
I'm staying with SP2 until next avast version at least.