In very general and oversimplified terms, your firewall only tells you if something tries to access a port on your computer. It (usually) blocks the access until you tell it that it's okay.

When you turn on your web browser, you've automatically told the firewall that you want to use that port, so it's then the browser that controls what goes in and out there, with assistance perhaps from your AV. The firewall doesn't really care what comes and goes. It only looks at whether there's "something" coming and going, and whether you told it to let it in and out.

Most likely you have a very high security setting in your browser that's not permitting animated graphics. The SP2 installation did make some additional changes to IE, if that's what you're using. What used to be "medium" security is now "very low" and the new "medium security" is what used to be "very high." I can't really guess which settings might be off, but you may find (in IE) something amiss in Tools - Internet Options - most likely on the Security, Privacy, and/or Advanced Tabs.

The site looks fine to me, with WinXP SP2 and IE6.

John