If it's like the other Office Service packs (office 97 and 2000), you'll have to install SP1 first.
Ususally these "free" cd's include previous SPs....usually. (that is, the SP1 file is also on the CD, not integrated into SP2)
EDIT:
Found this on the SP2 download
LINK. SP2 is 50mb to download, why? Because it's culmative.
The 50mb download extracts into two files. One is 45mb, other is 5.4mb. The larger is the "full-file version"
"The full-file version of the Office XP SP2 update will install successfully on the original release of Office XP, or on computers that have applied one or more of the publicly available updates listed above. There are no specific prerequisites for the update, other than those required for Office XP itself."
Enjoy!