How to Download Windows Update File Manually
Windows XP give you ability to automatic update their operating system. You can active or deactivate this function from Control Panel > Security Center. There are three option on Automatic Update setting, automatic, download and choose which file to update, and just notify about the update.
For some reason maybe you don't want to download the update with your internet connection. You use dial up so it can slow your internet connection. Or you use volume based so it consume more kilobyte and more money.