As far as I can tell it does not matter, assuming you are using at least SP3. If you
go to Windows Update, you can install in whatever order though I usually go from the
bottom up, unless there is a service pack to install, if I am going to do it in more
than one try as for a fresh install. If you manually download updates be sure to see
the KB below on how to install multiple updates without a reboot using Qchain.exe
http://support.microsoft.com/?kbid=296861
After installing all updates it is a good idea to run Microsoft Baseline Security
Analyzer to see if it reports that you are current though at times it will display
conflicting results compared to what Windows Update reports. The FAQ below will help
explain what is happening if that is the case for you.
http://www.microsoft.com/technet/security/tools/mbsaqa.mspx
http://www.microsoft.com/technet/security/tools/mbsahome.mspx
There is also an active newsgroup, Microsoft.public.windowsupdate, and I think one
for W2K that may be of help for Windows Update questions. --- Steve