[Pierre-Marie Baty]

Usually, when the SP2 is installed and you run a program that needs internet access, Windows pop up a dialog box asking you whether you want to "unlock" this program. You should say yes for Steam and everything Steam related (hl2.exe, etc.) If you don't, Windows will continue blocking it and will not ask you about it anymore.

Check your firewall settings in Control Panel->Windows Firewall, Exceptions tab. Tick the box next to the program you want to unlock, or suppress it if you want Windows to ask you again about it.