Sorry I can't help - I've had the same situation 6 or 7 times. I had a query about it here about 6 months ago and all replies said that the hotfixes (updates) are hidden and can't be copied.
Right now, I've got 3 XP Pro's (2 on one PC and 1 on another) and I'm having to collect this week's updates separately. If you were able to back up your system with the XP backup wizard or clone your OS onto an external drive, maybe you'd save everything?
You could use AutoStreamer to stream the XP SP1 disk with the SP2 disk - I've just done that but it's more than 700 MB so I haven't yet been able to burn it. That way, when you start again, you'll only have to d/l the post-SP2 updates.