As you are doing Windows Update (through the website) it provides a link to
a kb page, and that page provides a download. Or you can type the KB Number
into a search engine and find places to download.
If you do plan to do this, I would set up a blank box, install SP2 straight
away, and then download all of the updates required AFTER SP2 (like, WinBits
2.0)
If you want to see the updates you've installed right now, Go to the control
panel, then add/remove programs, then select "show updates", and use a
search engine with the KB number.