Download the updates, copy them to external media, install the updates.
You can download each update manually - based off the KB Article number,
etc. That way you can back it up/burn a CD of them in case you need them or
use them to keep a slipstream/integrated (updated) Windows XP CD.
How to use the Windows Update Catalog http://support.microsoft.com/kb/323166
(In order to use the Windows Update Catalog, you must use IE to get the
patches..)
At the end of this line you see "ms##-***.mspx" .. If you simply replace ##
with the two-digit year and the *** with the three character month
abbreviation, you will see the list of "critical" and "important" patches
for that month (since it only happens once a month usually, if you check by
the second Tuesday (wait until afternoon) of each month - you should be
fine) - note that future months will not work.