Your'll first have to download it from Microsoft. Microsoft suggests to use the automatic updates site here
. That well detect that you haven't got SP2 and any other updates. It will then download it and set it up for you automatically. It should be noted that it is a big download, if your on a 56k connection you'll be waiting a very long time and it not really suggested. Microsoft did offer a free CD with SP2 on, be thats now no longer available. See if someone had a copy of the CD and see if you can borrow it. I'd suggest getting the CD rather than the download.