Start => Settings => Control Panel => Administrative Tools => Local Security Policy
Click on IP Security Policies on Local Machine, then Right Click => All Tasks => Import Policies. Dialog box appears.
<Windows 2000 users> Check the box, Delete all existing policy information.
Navigate to the downloaded file and open it.
Right click on one of the new policies that appear in the Right pane and click "Assign". This makes the filter active. The policy's icon should have a green spot on it to denote this.
Seek out an administrator to test your filter.
OITSEC's MS Filtering Getting Started with pictures
Applying an IP filter for Windows 2000 or Windows XP