I assume you're using Win2k or earlier?
You can get around it by installing the MS Loopback adaptor, but you don't need to do this on WinXP as 127.0.0.1 is still pingable without a TCP/IP connection.
But yes, I have made this mistake on Win2k
To install the MS loopback adaptor, go to networks from control panel on Win2K or NT.
Cheers,
Nick.