This is quite an old patch. Can you check your Updates History or Add/Remove to see if you already have the update?. If you have Belarc Advisor or Everest (Lavalys) they should list all the updates you have and/or notify you of any missing ones.
Alternatively, you could try running the online Secunia Software Inspector which should notify you if you are missing anything; (take care not to download the Beta Personal Software Inspector by mistake!)
http://secunia.com/software_inspector/ (you will need Sun Java installed for this to work).
Also, it might only note missing Critical updates. The one you refer to was only classified as Moderate on XP SP 2;
http://www.microsoft.com/technet/sec.../MS06-032.mspx