If you didn't download the admin version then click here to get it. Save to your hard drive and then burn it to CD. If you just got it through Windows update then I don't think you can save this but if I'm wrong someone will no doubt tell us.
If you click the link on Eric10's post it will take you to the site where you can download SP1a, save it to a location on your computer then copy it to CD. You don't need to do anything more complicated other than that.
If you have lost it when downloading, type Windows SP1 into search, when it finds it put a cd in the drive, right click on the file you found and send to your cd drive. alternatively drag it to your CD Drive as holly polly suggested. My offer from your other thread still stands if you get desperate, but you shouldn't really need it anyway.
On downloading xpsp1a_en_x86.exe ,it said file was 125mb but after 3hr 51min it said downloading complete 68.2mb,and folder where I had saved file called it "self extracting cabinet"??what have I done Eric??