Yes, you can use a 3rd party download manager to download Updates, although I've heard people claim that they've never been successful doing it.
Order the Windows XP Service Pack 1a on CD
http://www.microsoft.com/WindowsXP/p...p1/ordercd.asp
Instructions for downloading to Disk (for use in installing in another machine)
http://support.microsoft.com/default...b;EN-US;323166