This is where to find the Security Centre, which is one of the key features of SP2 for Windows XP.
This is the place to disable your firewall (and firewall notification!) if you…
A. Don’t trust Microsoft and want to take care of firewalling yourself (good plan!) or
B. Want all your applications to work and you don’t own a laptop and your desktop will only be connected to the LAN anyway (and you have a really clever guy taking care of LAN/WAN security!)