Couple of questions and then some comments:
1) Windows XP Professional or Windows XP Home?
2) If it's Professional, are you the system (or network) administrator?
Since you installed the update yourself, I'm going to assume you have
legitimate administrative control over your machine. This still does not
distinguish between the Professional version or the home version, however.
If it's the professional version, there's a good possibility that your system
(or network) administrator has configured group policy options within the
domain somewhere to have those selections pre-selected for you and therefore,
prevents you from making changes.
Since you're the one installing SP2, this tactic would be somewhat
troubling, but not unheard of.
In the case of Home Edition, make sure that you are logged in as an account
with administrator level privileges. I'd also take a look at any spyware and
ad-ware detection and removal strategies.
Hope that helps.