Read the short titled ;) The Microsoft Operations Manager 2005 agent does not install on computers that are running Windows XP with Service Pack 2 (SP2) and Windows Server 2003 with Service Pack 1 (SP1) kb for more information.
Shortly, if you are running Windows Firewall, you have either to do a manual setup - or tweak the firewall to allow pushing the agent.
After the release of SCW, the articles start getting plastered with Important These steps may increase your security risk. These steps may also make your computer or your network more vulnerable to attack by malicious users or by malicious software such as viruses. We recommend the process that this article describes to enable programs to operate as they are designed to, or to implement specific program capabilities. Before you make these changes, we recommend that you evaluate the risks that are associated with implementing this process in your particular environment. If you choose to implement this process, take any appropriate additional steps to help protect your system. We recommend that you use this process only if you really require this process.
The funny thing is though - if just the programmers did check what they received from the network, no per-computer firewall was ever necessary. The claim above must mean that the programmers at Microsoft is not there yet... (but anyway this is how it was before SP1)