Unfortunatly, you have to do that even your system is patched with the latest SP pakage. (XP SP3 will be released soon).
The reason is very simple - those patches are not developed at the same time. As soon as there is a security issue/risk, Microsoft will try to release a patch in time.
Turn your auto-update on is what I will recommened - since the auto-update is using backgroud transport tech. it shouldn't take too much of your network bandwidth, for those whose compupter is always online, that's the best way to keep your computer safe.
每个windows相关版本都有不同的补丁,就算XP也分家庭版和专业版,并且,在下载补丁前MS就会查找系统中哪些是安装了的,哪些是没有安装的,下载的地方也不是没有,但你要自己去识别,例如
Update for Windows Server 2003 Service Pack 1
http://www.microsoft.com/downloads/results.aspx?pocId=&freetext=KB898715&DisplayLang=zh-cn