Windows 2000 Server and Windows XP include software to filter incoming packets, and can be configured to drop ICMP (Internet Control Message Protocol, a.k.a. PING) packets. In Windows XP, this is called the Internet Connection Firewall -- do a search for it in the help files and XP will walk you through the configuration. You can also buy a hardware firewall or router with filtering capabilities. I use a Linksys router, and it drops all inbound PING packets.
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