Thank You Allan, it worked.
The SP1 is shown in Control Panel/Add Remove Programs. So a successful
download, I think.
The SP1 version number is not shown in C/Windows/Microsoft .NET/
Framework, it only shows the re installed
Framework 2 v2.0.50727.
The reason I mention this is because after re booting I've now got the
dreaded yellow update shield back once again telling
me I should download and install Service Pack 1.