you can pick what you want to download but all the critical updates are essential to stop any attacks on your system!
sp1 is the most important and MUST be downloaded first.
make sure that the xp firewall is enabled and you have a good antivirus before you start any downloads
to turn on the firewall
click on the start button,
right click on your connection tab,
go to advanced and check the box to turn on your firewall,
click apply and thats it done.
ps you dont say if you have b/b or dial up