JSI Tip 9602. Software updates for some Windows components may not be applied when you install a service pack for Windows 2000, for Windows XP, or for Windows Server 2003?

Microsoft Knowledge Base Article 829336 contains the following description:

New versions of Windows components, such as Internet Explorer, DirectX, or Windows Media Player, may not be updated when you install a service pack. This article discusses why this issue occurs and how to update these components.