Microsoft Knowledge Base Article 322389 contains the following summary:
Microsoft Windows XP updates are distributed in service packs. Service packs help keep Windows XP current, and extend and update the functionality of your computer. Service packs are cumulative. Each new service pack contains all the fixes that are included with earlier service packs and any new fixes. You do not have to install an earlier version of a service pack before you install the latest version. For example, if you have already installed Windows XP Service Pack 2 (SP2), you do not have to install Windows XP Service Pack 1a (SP1a).