Flybywyre,
Save the full network download of SP2 to a directory named:
C:\WinXP-SP2
(Rename the Service Pack 2 File WinXP-SP2.exe)
Copy all the files from your WinXP CD to:
C:\WinXP-CD
Then from the go Start >> Program Files >> Accessories >> Command Prompt
From the Command Prompt type cd .. as many times as it takes to get back to the root directory C:\ then type:
cd\WinXP-SP2
From there type:
WinXP-SP2 /integrate:C:\XP-CD
I think the confusion is the webpage's example has the a second Hard Drive while you only have one so by typing D:\ it is trying to access your CD Drive.
Take Care,
Richard