In between Service Packs a lot of 'Hotfix' updates are developed and made available. A number of them get made available via Windows Update as Critical updates because they relate to security issues, but most don't.
Instead, the 'Hotfixes' which relate to specific problems get mentioned or linked in Knowledgebase articles. Quite a few are only made available following a specific request for them to Microsoft Product Support Services. "Only apply it to systems that are experiencing this specific problem" you are told, and "..if you are not severely affected by this problem, we recommend that you wait for the next Windows XP service pack that contains this hotfix."
That's right! They'll be included in the next Service Pack anyway, making the download larger whether you need them or not!
Thanks to website MajorGeeks, you can download a whole bunch of the Hotfixes in a handy zip file right now, forestalling some of the later pain. There are about 120 of the updates included in the archive, and you can download it from here.
Unfortunately there's no installer included. You'll need to install them individually.