like Graham says it should have Sp2 on it already...to check just hold on the Windows button thats between Ctrl and Alt and whilst holding that down press the Pause/Break key (located next to the Num Lock, Scroll Lock Keys) after doing this a box will appear, just look at the right hand side of the box and it will tell you whether its Sevice Pack 2 or Service Pack 1.
I haven't had any problems with SP2 (touch wood, rabbits foot, etc). Install now as you have a clean(ish) system; this seems far less likely to raise any of the issues that seem to have come up. Then go into the security centre and tweak it so that it does what it should do without getting in your way all the time. Go for it.
I've also had no problems with SP2 and XP Pro - in fact the upgrade was done almost from the moment it was released several weeks ago.
You only hear about those who have had problems, not the millions around the world who haven't...
However, to rest easy, create a System Restore point before you install SP2. If you do have any problems - and it's unlikely on a fresh OS - you can always remove SP2 from Add/Remove Programs and revert back to where you were.