Sorry to burst your bubble bros but although sp2 activates popup blockers and and such, it is still vulnerable to spyware attacks. Seriously you'll need to have a proper antispyware application installed. Cause my workplace already using sp2 and its still attacked. I spent 80% of the time nowadays removing them.
And just because the popup doesn't appear, doesn't mean the hooks aren't still there. In this case what it'll do is redirect the traffic to its own proxy and monitor your surfing habits and the worst thing is....you'll never know its there (hence "spy"ware).
Just a tip, make a search for a file called osmim.dll or osxproxy.dll, they usually reside in the systemroot directory. Used a spyware remover to get rid of them, and after that repair your winsock - cause most of the time it has already been corrupted and if you don't do this after you remove the file, you will not be able to surf.