SQL Server 2005's HTTP endpoint functionality uses http.sys, the HTTP stack in the kernel, to do it's processing. Until lately Windows Server 2003 was the only OS to implement http.sys and HTTP endpoints only worked when SQL Server 2005 ran on this OS.
Windows XP SP2 shipped with http.sys and HTTP endpoints are now enabled on this OS as well. There is a difference between the two OSes that makes this feature subtely different on each one. The difference is in the version of IIS that runs on each OS. If you are running IIS at the same time, XP SP2 runs IIS 5.1 and Windows Server 2003 runs IIS 6.0. The difference is that IIS 5.1 does not use http.sys even if it is available and therefore grabs all of the HTTP traffic on whatever ports it's listening on. In most cases this is port 80 and/or 443. This interferes with SQL Server HTTP endpoints trying to use these ports. Dan Sullivan confirmed this when running the class on his laptop running Windows XP SP2 last week.
There are a couple of ways to get around this. You can specify a port other than port 80/443 for SQL Server's HTTP endpoints and run both endpoints and IIS at the same time. Another workaround is to shutdown IIS and only run SQL Server's HTTP endpoints.