If previously you only applied the updates on the Windows Update site, without saving the .exe installation files, I'm afraid you'll have to redownload them again.
If your XP CD is the original version (i.e. without SP1 included), the first one to start with is SP1 (now called SP1a).
click here for a list of available updates (not all of which you need to apply, it's just a convenient list).
In future, you can download and save the updates to your computer, for situations such as a reformat, to avoid having to redownload them again.
On the Windows Update site, you can click "Personalise Windows Update" on the left, to add "Windows Update Catalog" to the list on the left. Then use Windows Update to scan for available updates. Then instead of applying the updates immediately, note down the update number or description, and search for it in Windows Update Catalogue, and download from there. You'll be prompted for the location where the update files should be saved.
Downloading from the Windows Update site can be quite slow, especially with large files. If you have a download manager (such as Download Accelerator Plus, or others, which you can download for free), use Windows Update to scan for updates, then click "Read More" which will take you to a webpage, which usually contains a separate site for downloading the update. Then use your download manager to download the update, which is usually faster.
I suggest you download SP1a (network installation - even though it's about 120MB, saves you from downloading the next time) first, save it to CD, before you reformat. The other one you must download now is the one relating to the security hole which is exploited by the Blaster virus. Apply the patch before you get on to the internet. click here People doing a fresh installation have been caught, before they could apply the patch.
The other thing with SP1a is it will not contain the java virtual machine. Download the Sun Java version. A link is provided from the list in the first shortcut provided above. But you can do that after you reformat and reinstall XP.