As usual, it's a bug in MS's app. [link|http://groups.google.com/groups?hl=en&safe=images&threadm=ZeFp8D%242BHA.1592%40cpmsftngxa07&rnum=1&prev=/groups%3Fq%3D%2522windows%2B2000%2522%2B%2522SQL%2BServer%2522%2B%2522NAT%2522%26hl%3Den%26safe%3Dimages%26selm%3DZeFp8D%25242BHA.1592%2540cpmsftngxa07%26rnum%3D1|Here] is the groups.google thread on what is causing it.

Yeah, he's got SQL SP2 installed on the machine. Yeah, I've warned him all about using your gateway for production work as well...