I had some difficulty when I recently tried to do a load of updates. They seemed to fail just at the end of the installation and of course when I treid again the website thought that I'd already downloaded them. I was given the impression that they had failed but when I checked at length it turned out that they were all there.
I've since found that when I 'demand' updates - as opposed to automatic live updates - it tends to 'fail' - or at least that's what I'm told.
If in any doubt about downloading XP updates and you've got £15 to spare, the last two months' editions of the expensive Offical Windows XP Magazine have discs with all the XP updates since launch (the SP1 pack plus some others) and drivers too.
I had a problem installing updates and solved it by deleting the catroot2 folder, found here. c/windows/system32/catroot2. Just change it's name if you're not happy about deleting it, it did rewrite itself tho.
I had the same problem with downloading the vey same patch and one or two others but after much thought I disabled the firewall (WIN xp firewall) and disabled the anti-virus while downloading and everything went smoothly and installed. Microsoft does warn users to disable any anti-virus programs while downloading!Try it, it may help!