security update KB833987

I am using Windows XP Pro with WU v5. I went to express
install and only install there is xpsp2. Not installing
at this time, using CD Microsoft sent me. Then went to
custom install and installed security update KB833987.
Went to view installion history and it is there as
successful download. Read more on this update and found
it should have downloaded to computer (with screen coming
up to open/save/cancel). I went to add/remove and it is
not there. Found Microsoft site for the download. My
question: Am I suppose to manually download this update
to computer and if so why didn't automatic update
download it when I clicked install? Any help or
suggestions?