As I said: you need an installation source (basically the i386 folder) with an integrated SP2, not the SP2 CD.
You might have one already depending on how old your installation CD is, otherwise you will have to slipstream SP2 into a folder with a pre-SP2 i386 source, then go to this folder when the wizard asks for the installation files.
A step-by-step description on how to slipstream SP2 into an older installation source is provided at the link I listed above.