A. If you receive the Service Pack by downloading from a Microsoft FTP site, then copy the file to a temporary directory and then just enter the file name (e.g. Sp2_400i.exe). The file will be expanded and among the files created a file called UPDATE.EXE will be created. Just run this file. If there is no UPDATE.EXE, just .sym files you have downloaded the symbols version which is used for debugging NT, download the normal version (see above).
If you receive Service Packs via CD, if you just insert the CD (for SP2 and later) and an Internet Explorer page will be shown and you can just click on install for the Service Pack.