With XP SP2, Microsoft wants you to be aware when your computer, although configured for automatic address assignment, does not in fact get service from a DHCP server. Your computer, and maybe one or more other computers, will have (KB220874): APIPA addresses.
This is simply a new message - it is not a new problem, and the APIPA address is a symptom of the problem, not the problem itself. You have to solve the problem, not the symptom. Manually assigning an IP address, subnet mask, etc won't solve anything.
There are 2 possible reasons for not getting DHCP service.
If your computer has no connectivity, whether you leave the APIPA address, or use a manually assigned address, you will gain nothing. You will have to diagnose and fix the physical connectivity problem.
A case of LSP / Winsock corruption can cause No Connectivity, so if you can't easily find a physical connectivity problem, check that next.
Connectivity, but no DHCP server
If your computer has limited connectivity, it has an APIPA address, and it may have connectivity to other computers on the local network. APIPA addresses don't pass thru routers though, so you'll at best have connectivity only with other computers, also with APIPA addreses, and also on your local network.
There is one case where this is not at all a problem. If you have 2 or more computers - either 2 computers connected directly with a cross-over cable, or 2 or more computers connected thru a hub or switch, you may have a LAN with no DHCP server, and no gateway.
In this case, each computer will self-assign an IP address, per APIPA design. If your only need to connect the computers is to let them share files with each other, then you're fine.
If you have a gateway on your LAN, and intend for the computers to communicate outside the LAN, however, you have a problem. Manually assigning normal addresses, such as 192.168.n.n, to match the rest of the computers on the LAN, will accomplsh nothing.
If you manually assign an IP address that will communicate with the outside world, you'll have to do this for every computer on your network with an APIPA address. You'll be better off finding and fixing the problem.
Make sure that the DHCP Client service is running - Started and Automatic.
If the client computer is running Windows Vista, check for a couple connectivity issues which are unique to that operating system.
If your DHCP Client is running, and none of the above help, the problem is probably not with your computer. Either you have no device on your local network that can provide DHCP services, or the DHCP server is ignoring the requests from your computer. The latter condition can either be caused by a MAC address filter, or by an exhausted DHCP scope (all available IP addresses having been issued).
Do you have a DHCP server on the LAN, or are your computers behind a NAT router? If either is the case, check the log on the server, or the router, for clues.
If none of the above scenarios apply to you, or if you can't work as above, then continue by asking for help for basic Internet Connectivity. Or troubleshoot the Internet Connectivity problem yourself, methodically.