Sounds like connection manager is not running. Could be for any number of reasons, but first off I suggest you re/install XP SP1. If you cannot for any reason, then this link may get you started on the right track. Use the "workaround section" to edit the registry, but
BACK UP THE OLD ONE FIRST !
Microsoft knowledge base article: 329441
If that doesn't help, go to Control Panel--> Administrative Tools --> Event Viewer. In the left hand panel, click on "System" and look for anything with a red cross beside it. Double click the rogue event and you should get a short description of the error, together with a link to the relevant Microsoft online help.
Also, go to Control Panel--> Administrative Tools --> Services, and scroll down to connection manager to see if it is running. If not, click on "Start Service" and see what error message you get.
Hope this helps