Getting Windows XP Service Pack 2
If you're running Windows XP, you need Service Pack 2.
Microsoft is so convinced you need it that they specifically chose to make it freely available even to most pirated versions of Windows. They want you to have this. And sensibly enough; it contains a number of security fixes that are not only good (nay, critical) for your computer, but for the internet at large. Be a good citizen, install Service Pack 2.
Sometimes, though, the recommended approach (using Windows Update) isn't workable. Maybe you have a really slow internet connection. Maybe your system gets infected with something really nasty while waiting on the update to complete (yes, this is genuinely possible, though imporbable if you have some sense).
In that case, there are two alternatives.
Alternative 1: download just SP2. Microsoft provides a Service Pack 2 download intended for IT managers (read: people with lots of systems to patch) that you can download, burn to CD, and apply to any Windows XP machine.
Alternative 2: get the CD. Microsoft is more than happy to mail you Service Pack 2 on CD for free (you pay the actual shipping cost, which is quite small). The disc, happily enough, includes every single update that came before SP2 as well, so if you don't have SP1 this will take care of you. They ask that you allow 4-6 weeks before you get your disc; 2 weeks seems to be fairly typical.