Slipstream WinXP
Copy the contents of the WinXP CD to a dir (e.g. c:\cd\winxp).
Download the SP.
Run SP with -x (e.g. "xpsp2.exe -x"). This will verify, then request extractTo dir (e.g. c:\cd\xp_sp2).
ChangeDir to ExtractedSPDir\i386\update (e.g. c:\cd\xp_sp2\i386\update).
c:\cd\xp_sp2\i386\update> update.exe -S:c:\cd\winxp