Microsoft added the ability to Slipstream a Service Pack to Windows 2000 and Windows XP. It not only has the advantage that when you (re)install your OS, you don't have to apply the Service Pack later, also if you update any Windows component later, you'll be sure that you get the correct installation files if Windows needs any.

Download the "Network Install" of the Service Pack (English version [266 MB]), and save it to a directory (folder) on your hard drive (in my case E:\XP-SP2).AVOID using spaces in the folder name! 

Next copy your Windows XP CD to your hard drive. Just create a folder (I used E:\XP-CD), and copy all the contents of your Windows XP CD in that folder.