R.P.
I would recommend installing the security updates as and when they occur from the microsoft website (this often can save you from hassle from hackers/virus' the recent Blaster Virus can be blocked by a security update from the website).
The only thing I would be wary about installing straight away is that sometimes when they develop a new service pack it can be a bit of a problem. For instance I downloaded the test version Service Pack 3 for Windows 2K several times and it used to mess my PC up no end. However I've tested the latest 2K and XP service packs and not had any problems with them so far.
So basically go ahead and do it it'll be fine!
Neal Plews
August 2003