I was working on putting together a friend's machine, and
had the same thing happen. From what I saw, it will
eventually download, you just have to wait for it.
Eventually after a while the SP2 installation screen
popped up. If you want to try and force the download at a
specific time, do the following.
Go to
http://www.windowsupdate.com, and make sure the
latest Windows Update software is installed. If it is,
you should see on the right side of the page a little
square that says "Automatic Updates Turned On (or off).
Make sure it ways On then click the link that says "Pick
a time to install updates". It will launch a seperate
application window. It should says something
like "Install new updates: Every ____Day/Day of Week at
____Time Am/Pm.
Click "More Options" and set the select the "Automatic"
choice. Choose a time that is coming up soon (if it's
7:45, choose 8:00). Wait a while (say 2-24 hours) and
hopefully it will download SP2 and install it. It needs a
long time to download, as I think I read it can be
between 25-250MB. Not quite sure on the actual size
though, it's dependant on whether the machine already had
some critical/recommended updates installed on it.
Hope this helps.