Run Windows Update interactively. If you have XP Service Pack 2 (you can tell that with a right button on "My Computer", then select "Properties"), it's Control Panel->Automatic Updates, then select the "Install updates from the Windows Update Web site" link. If you have an older version of XP, it should be on the Control Panel or one of its links; you will have to upgrade to Service Pack 2 before you can do anything else (could that be your problem?). To do that, go to the SP2 upgrade site
It should open up an Internet Explorer Window. It may prompt you for an OK to install/update the Windows Update software.
Then, it should give a choice of running "Express" or "Custom"; choose Custom. After a while, it should give you a list of available updates from which to choose. Pick one, and select "Review and install updates", then "Install Updates".
If anything goes wrong anywhere in the process, an error code that consists of "0x" followed by several digits should show up, possibly with suggestions on how to fix it. If they don't, go to the XP support site
and search for that error code.