Huh

A "raw" WinXP installation
is vulnerable to worm attack if it has no firewall protection (cable/DSL router and/or firewall software), and I wrote some precautionary stuff
here about that. Read it and see if you sent your gladiator out into the arena in his underwear
I can't find any info about that thing either, so it does make you go
hmmm. If it were me, and I felt some doubt about it being innocent, I would download the free ZoneAlarm, get an offline updater for my antivirus software (what brand you using?), download this
WinXP post-SP1 patch kit, and burn it all to CD, then
unplug the network cable, leave it unplugged while setting up WinXP again, get that armor on (ZoneAlarm), and get those weapons honed (install and update antivirus software offline).
Now plug in the network cable and head out to Windows Update and also update your antivirus software again. Better safe than sorry.
Also get the free Microsoft Baseline Security Analyzer 1.2 and run that. It will pick on you for all sorts of stuff. If it says you have weak or blank passwords, definitely address that to thwart share-hopping worms that are trying to hit your system's administrative shares.