Yup, I didn't like the idea - but I updated on 2 different machines without any problems (I don't rely on XP to unzip for me though).
If it helps at all - it seemed to be good practice, when I did it, to return all the various skins, cursors, boot, login etc to default state and then install SP2 (return to preferred state after succesful loading of SP2) I also had to reboot a couple of times before bootskin settled in properly.
Also some have advocated clearing the prefetch files - I also went along this route shortly after installing SP2 if only to give it that spring clean feeling.