Just taken advantage of some very useful info provided by Powerless to get all the Windows Updates in one go and save them to disc. However I don't know what I already have as I havn't used it for a while. Does it matter if I should try and install one that I already have. Probably not, but I'd like to be sure.
Just worked it out for myself. Go to microsoft.com and click windows update on the left. Then Click Windows Update Catalog, again on the left. Choose Find updates for Windows O/S. From the list choose the final entry. Windows XP SP1 and click Search. Choose Critical updates and service packs. Choose the ones you want by clicking Add and then click Go to download basket. Choose a folder on your hard drive and click Download now. Accept agreement and down they will come.