I run XP on my workstation at work, not by choice. I administer several servers, including a w2k AD server, exchange 2000, etc.
I can't install the Exchange Admin tools on my pc because they require the admin pak for w2k. I can't install the admin pak for w2k because its XP. I suppose I could switch to w2k on my workstation.
But the Group Policy Management Console won't run on w2k, and I administer several group policies. GPMC only works on XP and 2003 server.
Can't win.
But maybe to help you out - in the future download the full service pack executable (usually >100MB) then run it yourself. These days, they have these "light" installers (the express install you started) that download from windowsupdate then run, and pull the rest down from their servers. At least that way, you can download the service pack in the background while doing other things, then run it whenever you want - unplugged from the internet even. Run it with the -z -m option to make the install silent.
Try the Windows Update catalog
here and you can download patches manually.