Нет, SP2 - кумулятивный. Однако, если у Вас установлена какая-либо "бета" SP1 - сначала придётся-таки поставить финальный SP1.
System Requirements for Windows XP Service Pack 2
M$If you are running one of the following versions of Windows, you can update it with Service Pack 2:

• Microsoft Windows XP Home Edition

• Microsoft Windows XP Professional

• Microsoft Windows XP Media Center Edition and Microsoft Windows XP Media Center Edition 2004.
(If you install Service Pack 2 onto a computer running Windows XP Media Center Edition, your operating system is upgraded to Windows XP Media Center Edition 2004.)

• Microsoft Windows XP Tablet PC Edition
(If you install Service Pack 2 onto a computer running Windows XP Tablet PC Edition, your operating system is upgraded to Windows XP Tablet PC Edition 2005. After you install Service Pack 2 and restart your computer, the Welcome to Tablet PC window opens. It provides links to information about the new operating system, including tutorials.)
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