Windows XP firewall had improvements after SP2 and it display alerts about programs trying to listen on a port (acting as a 'server') to the users. It doesnt display the path for the file nor the last extension, instead, it only displays its description or name without the final extension. 

if u place a trojan with 'no name' in some dir, windows firewall will mistakenly alert about a 'folder name\', this can be misused to trick people into giving access to a malicious application thinking it is a legitim one. example below will make people think Internet Explorer is asking for access, when actually,it is not! :

==============example============================
in a cmd prompt:
copy mytrojan.exe "\program files\Internet Explorer\.exe" 
cd \program files\internet explorer
start .exe 
=================================================
An alert will show up saying 'Internet Explorer\' has been blocked and will ask if you want unblock it when it should alert about '.exe'.This could trick most people into thinking the firewall alerted about a well known legitim application.

another issue with the firewall is using NTFS alternate data streams. if u execute a file that is 'forked' to another one, no alerts will show up, not at all, but I dont think this is a security issue since on the computers I tested I wasnt able to direct connect.
example:

===============================================
in a cmd prompt:
type c:\mytrojan c:\windows\notepad.exe:mytrojan.exe
start c:\windows\notepad.exe:mytrojan.exe
===============================================
no alerts ;)

ps: every exploit code or details about a vulnerability here in Securityfocus are not found.
when you click in the exploit menu of any vulnerability and there is some kind of exploit code attached it will return an error such as 'the document you are looking for cannot be found' ... just like a broken link. and this issue is happening for some weeks. is this an error ?... waiting feedback on this issue.
cheers,
Edu