of course SP2 "does something" to your internet connection. it comes with a whole new "security center" with an improved firewall... depending on your connection, the firewall's settings can be responsible for your loss of connection.
In general SP2 makes surfing the web (more) secure. Besides the security center SP2 also updates your internet explorer to cut down on active contents which distribute trojans/viruses/spyware/browser hijacks.
Personally I deactivated the firewall straight away because I don't need it... but I guess for the average user it's good enough to "force" them to use it. I consider SP2 the first "good" microsoft update since Windows 98 second edition.