My MCE 2005 came with 3 discs - Disc 1 and 2 of MCE and the third being the SP2 disc.
During install it erroneously asks for the SP2 disc to be inserted, when in fact it really should be asking to re-insert MCE disc 1.
But I do think now that SP2 is integrated into the MCE discs because all USB2 drivers etc are installed without the use of the SP2 disc.